摘要
本文考虑索赔额与等待时间具有广义FGM相依结构的复合泊松过程,仿照文献[5]的方法,求出了其矩母函数的显式表达式,给出了其矩母函数的n阶导数的计算方法,并最终求出了其Esscher定价泛函.
In this paper we follow the same way to [ 5 ] to find the moment generating function, its nth derivative and the Esscher pricing functional for a compound Poisson process with dependent loss amounts and loss inter - arrival times having a general Farlie - Gumbel - Morgenstern dependence structure.
出处
《数学理论与应用》
2013年第3期57-62,共6页
Mathematical Theory and Applications
基金
国家自然科学基金项目(61203139)
