The random walk model revisited - Collections

＜preprint＞
The random walk model revisited

Creator	Creator Name Hirotsu, Takehiro ヒロツ, タケヒロ Affiliation Affiliation Name Nisshin Fire & Marine Insurance Co., Ltd
Creator	Author PID K001239 Creator Name Taniguchi, Setsuo 谷口, 説男タニグチ, セツオ Affiliation Affiliation Name Faculty of Mathematics, Kyushu University 九州大学大学院数理学研究院
Language	English
Publisher	Faculty of Mathematics, Kyushu University
Publisher	九州大学大学院数理学研究院
Date	2008-10-26
Source Title	MI Preprint Series
Vol	2008-7
Publication Type	Author's Original
Access Rights	open access
Related DOI	MI Preprint Series \|\| 2008-7 \|\| p1-6
Related DOI	http://www.math.kyushu-u.ac.jp/
Related URI	MI Preprint Series \|\| 2008-7 \|\| p1-6
Related URI	http://www.math.kyushu-u.ac.jp/
Relation	MI Preprint Series \|\| 2008-7 \|\| p1-6
Relation	http://www.math.kyushu-u.ac.jp/
Abstract	The random walk model was introduced and investigated by D. Heyer [1]. It is a loss development model, where the geometric Brownian motion, which is frequently used in Mathematical Finance (for exampl...e, recall the famous Black-Sholes option pricing formula), is applied to cumulative losses. In this paper, as an application of the random walk model, the conditional distribution and the conditional confidence interval of the total loss to be paid in the specific future year, being given the cumulative losses of the present, will be investigated.show more

File	FileType	Size	Views	Description
MI2008-7	pdf	142 KB	257

Record ID	12552
Peer-Reviewed	Unrefereed
Subject Terms	random walk model
	geometric Brownian motion
	distribution
	confidence interval
	cumulative loss
Notes	MI: Global COE Program Education-and-Research Hub for Mathematics-for-Industry
Notes	グローバルCOEプログラム「マス･フォア･インダストリ教育研究拠点」
Type	プレプリント
Created Date	2009.04.22
Modified Date	2018.02.20