复合Poisson-Geometric风险模型的预警区问题  

Duration of Negative Surplus for a Compound Poisson-Geommetric Risk Model

作　　者：钟朝艳[1] 

机构地区：[1]曲靖师范学院数学与信息科学学院,云南曲靖655011

出　　处：《经济数学》2012年第2期83-86,共4页Journal of Quantitative Economics

基　　金：云南省教育厅科学研究基金资助项目(08C0179)

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-Geomet-ric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.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.

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 

分 类 号：O211.9[理学—概率论与数理统计]