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,(2):83-86
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作者单位
钟朝艳 (曲靖师范学院 数学与信息科学学院云南 曲靖655011) 
中文摘要: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.
中文关键词: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
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.
keywords:duration of negative surplus  compound Poisson-Geommetric risk model  conditional moment generating function  integral differential equation
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