The Log-normal Jump Diffusion Model for Fitting Catastrophe Loss

摘要：

This paper considers three models of the Catastrophe Loss. Using the MLE method, the parameters values of three models are derived. By empirical analyzing the earthquake loss in China from 1966 to 2008, we find that the log-normal jump diffusion model fits better than the other models.

关键词： brownian motion log-normal jump diffusion model catastrophe loss MLE method

作者: GUO Xiuhua

作者单位: Zibo Normal College, P.R.China, 255100

会议类型: 国际会议

会议名称: The 3rd International Institute of Statistics & Management Engineering Symposium(2010 国际统计与管理工程研讨会 IISMES)

会议地点: 威海

会议语种:英文

页码: 389-391

在线出版日期: 2010-07-24（万方平台首次上网日期，不代表论文的发表时间）