ON THE DISTRIBUTION OF DISCOUNTED COLLECTIVE RISK MODEL

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MAHMOUDVAND RAHIM; EDALATI ALIREZA

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Paper Information

Journal: JOURNAL OF STATISTICAL RESEARCH OF IRAN (JSRI) Year:2009 | Volume:6 | Issue:2 Page(s): 193-207

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Information Journal Paper

Title

ON THE DISTRIBUTION OF DISCOUNTED COLLECTIVE RISK MODEL

Author(s)

MAHMOUDVAND RAHIM | EDALATI ALIREZA | Issue Writer Certificate

Keywords

DISCOUNTED COLLECTIVE RISK MODELQ1

POISSON PROCESSQ1

MARTINGALEQ1

Abstract

We study the distribution of DISCOUNTED COLLECTIVE RISK MODEL where the counting process is Poisson. For the model considered here, we obtain mean, variance and moment generating function (m.g.f) of the model.To do this, we use two approaches. In the first approach we use classical methods to obtain the mean and variance. In the second approach we introduce some proper MARTINGALE and then we obtain the m.g.f of total loss by features of MARTINGALEs. Additionally, we use Fast Fourier Transform to numerically calculate the distribution of DISCOUNTED COLLECTIVE RISK MODEL.

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APA: Copy

MAHMOUDVAND, RAHIM, & EDALATI, ALIREZA. (2009). ON THE DISTRIBUTION OF DISCOUNTED COLLECTIVE RISK MODEL. JOURNAL OF STATISTICAL RESEARCH OF IRAN (JSRI), 6(2), 193-207. SID. https://sid.ir/paper/129955/en

Vancouver: Copy

MAHMOUDVAND RAHIM, EDALATI ALIREZA. ON THE DISTRIBUTION OF DISCOUNTED COLLECTIVE RISK MODEL. JOURNAL OF STATISTICAL RESEARCH OF IRAN (JSRI)[Internet]. 2009;6(2):193-207. Available from: https://sid.ir/paper/129955/en

IEEE: Copy

RAHIM MAHMOUDVAND, and ALIREZA EDALATI, “ON THE DISTRIBUTION OF DISCOUNTED COLLECTIVE RISK MODEL,” JOURNAL OF STATISTICAL RESEARCH OF IRAN (JSRI), vol. 6, no. 2, pp. 193–207, 2009, [Online]. Available: https://sid.ir/paper/129955/en

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