| 双复合Poisson风险模型下盈余首次达到给定水平的时间分析 |
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| 引用本文： | 高明美.双复合Poisson风险模型下盈余首次达到给定水平的时间分析[J].经济数学,2010,27(1):81-84. |
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| 作者姓名： | 高明美 |
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| 作者单位： | 青岛大学数学科学学院,山东,青岛,266071 |
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| 基金项目： | 青岛大学青年科研基金资助项目 |
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| 摘 要： | 针对双复合Poisson风险模型，利用鞅论的知识，研究了盈余首次达到给定水平的时刻的拉普拉斯变换、期望、方差和3阶中心矩。
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| 关 键 词： | 鞅 停时 风险模型 |
Time Analysis of the Surplus Reaching a Given Level Firstly in the Double Compound Possion Risk Model |
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| GAO Ming-mei.Time Analysis of the Surplus Reaching a Given Level Firstly in the Double Compound Possion Risk Model[J].Mathematics in Economics,2010,27(1):81-84. |
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| Authors: | GAO Ming-mei |
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| Institution: | GAO Ming-mei (College of Mathematics, Qingdao University, Qingdao 266071 ,China) |
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| Abstract: | The Double Compound Poisson risk mode was discussed. Using the martingale method, the time when the surplus reaches a level firstly was considered, and the expectation, its variance and its third Central moment were obtained. |
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| Keywords: | martingale stopping time risk model |
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