Numerical Algorithm for the Stochastic Present Value of Aggregate Claims in the Renewal Risk Model
Numerical Algorithm for the Stochastic Present Value of Aggregate Claims in the Renewal Risk Model
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发表时间：
2013
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通讯作者：
Deyi Ma
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作者：
Deyi Ma
针对续期风险模型中总索赔s的随机现值问题，基于蒙特卡罗和随机过程原理构造了一种数值算法。详细介绍了该算法的基本思想和设计过程。数值模拟结果表明，在不同参数、不同分布下，数值模拟结果与理论分析结果一致。数值计算结果可以直接看到该更新风险模型的失效概率，为实际决策制定提供支持。
For the stochastic present value of aggregate claim s in the renewal risk model, a numerical algorithm is constructed based o n the Monte Carlo and random process principle. The basic idea and design process of this algorithm is detailed. The numerical simulation results show tha t it is consistence with the theory analysis result under different parameter di fferent distribution. The numerical algorithm results can directly see the ru in probability of this renewal risk model, to develop support in the actual decisi on.