| 复合Poisson-Geometric风险模型的预警区问题 |
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| 引用本文： | 钟朝艳.复合Poisson-Geometric风险模型的预警区问题[J].经济数学,2012,29(2):83-86. |
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| 作者姓名： | 钟朝艳 |
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| 作者单位： | 曲靖师范学院数学与信息科学学院,云南曲靖,655011 |
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| 基金项目： | 云南省教育厅科学研究基金资助项目 |
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| 摘 要： | 应用有别于传统鞅方法的方法,充分利用盈余过程的强马氏性,在一类复合Poisson-Geometric风险模型下讨论预警区问题,得到第一个预警区的一个条件矩母函数所满足的微积分方程,并在指数索赔情形下给出其精确解.
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| 关 键 词： | 预警区 复合Poisson-Geometric风险模型 条件矩母函数 微积分方程 |
Duration of Negative Surplus for a Compound Poisson-Geommetric Risk Model |
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| ZHONG Chao-yan.Duration of Negative Surplus for a Compound Poisson-Geommetric Risk Model[J].Mathematics in Economics,2012,29(2):83-86. |
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| Authors: | ZHONG Chao-yan |
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| Institution: | ZHONG Chao-yan(School of Mathematics and Information Seiences,Qujing Normal University,Qujing,Yunnan 655011,China) |
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| Abstract: | The duration of negative surplus of a compound Poisson-Geommetric risk model was studied.By a new method different from the traditional Martingale methed,and taking full advantage of the strong Markov property of the surplus process,an integral differential equation of a conditional moment generating function for the first duration of negative surplus was obtained.Finally,the explicit expression is given when the claim is exponential distribution. |
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| Keywords: | duration of negative surplus compound Poisson-Geommetric risk model conditional moment generating function integral differential equation |
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