| 常利率复合Poisson风险模型中的预警区问题 |
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| 引用本文： | 于金酉,胡亦钧,韦晓.常利率复合Poisson风险模型中的预警区问题[J].数学物理学报(A辑),2010,30(1):1-17. |
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| 作者姓名： | 于金酉 胡亦钧 韦晓 |
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| 作者单位： | 于金酉(武汉大学数学与统计学院,武汉,430072;北京大学光华管理学院,北京,100871);胡亦钧(武汉大学数学与统计学院,武汉,430072);韦晓(中央财经大学保险学院,北京,100081) |
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| 基金项目： | 国家自然科学基金，国家教育部基金、中国保监会基金和教育部哲学社会科学重大课题攻关项目 |
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| 摘 要： | 该文讨论了带常利率复合Poisson风险模型中的预警区问题.在此,作者提出了一种新的方法,其有别于Gerber于1990年提出的鞅方法,通过这种新方法,最终得到了负盈余持续时间的矩母函数及各阶矩,进而在索赔指数情形给出了精确解析式,并利用计算得到的数值结果讨论了利率变化对预警区的影响.
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| 关 键 词： | 风险理论 预警区 复合Poisson风险模型 常利率 |
| 收稿时间： | 2008-06-17 |
| 修稿时间： | 2009-10-19 |
Duration of Negative Surplus for Compound Poisson Risk Model with Constant Interest Force |
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| XU Jin-You,HU Yi-Jun,WEI Xiao.Duration of Negative Surplus for Compound Poisson Risk Model with Constant Interest Force[J].Acta Mathematica Scientia,2010,30(1):1-17. |
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| Authors: | XU Jin-You HU Yi-Jun WEI Xiao |
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| Institution: | 1.School of Mathematics and Statistics, Wuhan University, Wuhan 430072;
2.Guanghua School of Management, Peking University, Beijing 100871 |
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| Abstract: | In this paper,the authors discuss the duration of negative surplus of the classical compound Poisson risk model with constant interest force.By presenting a new approach different from the martingale method proposed by Gerber(1990),the moment generating functions and the moments of both the single and total duration of negative surplus are formulated.Explicit expressions are given when the claim is exponentially distributed.Finally,the influence of interest force on the duration of negative surplus is illus... |
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| Keywords: | Risk theory Duration of negative surplus Compound Poisson risk model Constant interest force |
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