| 一类推广的复合Poisson-Geometric风险模型下预警区问题的研究 |
| |
| 引用本文： | 崔巍,余旌胡.一类推广的复合Poisson-Geometric风险模型下预警区问题的研究[J].数学物理学报(A辑),2012,32(1):27-40. |
| |
| 作者姓名： | 崔巍 余旌胡 |
| |
| 作者单位： | 武汉理工大学理学院数学系 武汉 430070 |
| |
| 摘 要： | 该文研究一类推广的复合Poisson-Geometric风险模型的预警区问题,此模型保费收入过程是复合Poisson过程, 索赔次数过程是复合Poisson-Geometric过程. 充分利用盈余过程的强马氏性和全期望公式,得到了赤字分布的积分表达式,
进而得到了单个预警区和总体预警区的矩母函数的表达式.
|
| 关 键 词： | 赤字分布 强马氏性 预警区间 矩母函数 |
| 收稿时间： | 2010-08-13 |
| 修稿时间： | 2011-12-30 |
The Analysis of the Duration of the Negative Surplus for a Generalized Compound Poisson-Geometric Risk Model |
| |
| CUI Wei,YU Jing-Hu.The Analysis of the Duration of the Negative Surplus for a Generalized Compound Poisson-Geometric Risk Model[J].Acta Mathematica Scientia,2012,32(1):27-40. |
| |
| Authors: | CUI Wei YU Jing-Hu |
| |
| Institution: | Department of Mathematics, School of Science, Wuhan University of Technology, Wuhan 430070) |
| |
| Abstract: | This paper mainly studies a generalized compound Poisson-Geometric risk model in which the income of insurance premiums is a compound Poisson process and the number of claims is a compound Poisson-Geometric process. This risk model has practical applications in the insurance industry. In this paper, the authors focus on the duration of the negative surplus(DNS) under the above risk model. By taking full advantage of the strong Markov property of the surplus process and the total expectation formula, they derive the distribution
of the deficit at ruin, and the moment generating functions of the DNS. |
| |
| Keywords: | Distribution of deficitzz Strong Markovpropertyzz Duration of the negative surpluszz Moment generating functionzz |
|
| 点击此处可从《数学物理学报(A辑)》浏览原始摘要信息 |
| 点击此处可从《数学物理学报(A辑)》下载免费的PDF全文 |
