复合Poisson-Geometric风险模型的预警区问题

钟朝艳

复合Poisson-Geometric风险模型的预警区问题

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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