ISSN 1002-1027  CN 11-2952/G2

Acta scientiarum naturalium Universitatis Pekinensis

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Optimum BMS Designs with Dependent Risks

LIU ChangBiao, YUAN Wei   

  1. Statistic Department of Renmin University of China, Beijing, 100872
  • Received:1999-10-08 Online:2000-09-20 Published:2000-09-20

Abstract: The bivariate Poisson models of contingent claim times about the homogeneous portfolios are studied, and an independent condition of the two variables is proved, and then the Mixed bivariate Poisson models of contingent claim times about the heterogeneous portfolios with dependent risks are studied, and the last, the optimum BMS formula about the heterogeneous portfolios with dependent risks are reached.