摘要
本文考虑当理赔次数N的分布为Poisson-逆高斯分布时,相应的总理陪量分布(即复合Poisson-逆高斯分布)的两种近似:正态分布和平移Gamma分布。同时还考虑了当理赔量的分布为下指数分布时复合Poisson-逆高斯分布的尾概率的一种近似计算。
With the Poisson-inverse Gaussian distribution choice for the distribution of the number of claims, a compound Poisson-inverse Gaussian distribution as the distribution of aggregate claims is considered. The normal distribution and the translated gamma distribution are employed as two kinds of approximations to the compound Poisson-inverse Gaussian distribution under some requirements. Also the approximation to the tail probability of compound Poisson-inverse Gaussian distribution is given when the claim amount distribution is subexponential.
出处
《工程数学学报》
CSCD
北大核心
2006年第1期175-181,共7页
Chinese Journal of Engineering Mathematics
基金
"Shu Guang"project(04SG27)supported by the Shanghai Municipal Education CommissionShanghai Education Development Foundation and the National Natural Science Foundation of China(70271001).
