破产理论中到达给定水平的时间分析  

Time Analysis of the Surplus Firstly Reaching a Ruin Theoretical Given Target

作　　者：崔巍[1] 

机构地区：[1]武汉理工大学理学院,湖北武汉430070

出　　处：《武汉理工大学学报（信息与管理工程版）》2011年第1期128-131,共4页Journal of Wuhan University of Technology：Information & Management Engineering

摘　　要：研究了一类推广的复合Poisson-Geometric风险模型,该模型在保险实务中有着实际应用背景。运用鞅方法,研究了盈余首次到达给定水平的时间问题,得到了它的矩母函数以及相应的期望和二阶矩的具体表达式,为保险公司的财务精算分析提供了理论支持。A generalized compound Poisson-Geometric risk model was discussed.This risk model has practical application in the insurance industry.By martingale approach,the time distribution of the surplus reaching a given target for the first time was investigated.And its moment generating function,corresponding expectation and the second central moment were obtained.It provides theoretical support for financial actuarial analysis in insurance company.

关 键 词：复合Poisson-Geometric分布 停时 鞅 风险模型 盈余过程 

分 类 号：O21[理学—概率论与数理统计] F840[理学—数学]