非寿险精算Loss number distribution演示教学.pptx

Ch2. Loss number distributionThe (a,b,0) ClassThe Poisson DistributionThe Negative Binomial DistributionThe Binomial DistributionThe (a,b,1) ClassCounting ProcessesCompound Frequency DistributionsMixed Frequency DistributionsQuestions Suppose the numbers of payment for some medical insurance policy follows Poisson distribution, now modified it with deductible of ￥100，which distribution can be used to describe the numbers of payment for the modified policy? And which distribution for the case that the insurer issued a reinsurance program for this policy?Ch2.1 The (a,b,0) ClassLet N be a random variable representing the number of some events. Denote its probability function asThe (a,b,0) class: If there exists constants a and b such thatThen N is a member of the (a,b,0) class. Include and only include Poisson distributionNegative Binomial distributionBinomial distributionCh2.1.1 Poisson DistributionN~Poisson( )E[N]=Var[N]=Pgf AdditivityDecomposability Ch2.1.2 Negative Binomial Dis.E[N]=＜ Var[N]=Pgf Generalization of Poisson distributionMixingCompound Limiting leads to Poisson DistributionCh2.1 The (a,b,0) Class?Ch2.2 The (a,b,1) classThe (a,b,1) class: If there exists constants a and b such thatThen N is a member of the (a,b,1) class.zero-truncatedzero-modifiedA zero-truncated (a,b,1) dis. + a degenerated dis.an (a,b,0) dis. + a degenerated dis.ETNB distribution?Ch2.3 Counting Processthe number of payments in time intervals respectively For any t in [0,T], the number of payments isA stochastic process is a sequence of r.v.s or a sequence of r.v.s is increment of time interval [s,t]Stationary increments: depends on t and s only through the difference t-s.Independent increments: increment of any set of disjoint intervals are independent.Ch2.3 Counting Process?Ch2.3.1 Birth ProcessBirth processNotesCh2.3.2 Poisson ProcessLet transition intensity The process is homogeneous Poisson process Transition ProbabilityDis. of incrementDis. of each t