An Analytic Study of Dependence Claims Impact for Characteristics of Moment

摘要

Risk model of aggregate claims usually was assumed that the value of claims between events is mutually independent. But there are possible cases that there is dependence between the value of the claims. This article discusses some of the characteristics of moment for collective risk model where the value of the claims between events has dependence. I used the Pearson Correlation for the depences of the claims. Results obtained that there was no impact between the characteristics of the moment caused by dependences for X_i ～ Binomial(m,θ), m = 1, 2, 3, i = 1, 2, N and NPOI(λ).