摘要
对保费收入为复合Poisson过程,而理赔次数为复合Poisson-Geometric过程的风险模型进行研究,利用鞅论的知识,得到了盈余首次达到给定水平的时刻的拉普拉斯变换、期望、方差和三阶中心矩.
A risk model, in which the premium income follows the compound Poisson process and the claim num- bers is a compound Poisson - Geometric process, is proposed. By applying the martingale approach, Laplace trans- formation of the time when the surplus reaches a given level for the first time is discussed, and the expectation, its variance and its third central moment are obtained.
出处
《云南民族大学学报（自然科学版）》
CAS
2012年第1期26-29,共4页
Journal of Yunnan Minzu University:Natural Sciences Edition
基金
国家自然科学基金(11161020)
云南省自然科学基金(2008CD186)
云南省教育厅科学研究基金(2011C121)
红河学院博硕科研基金(XJ1S0923)
