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.
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)
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
compound Poisson-Geommetrie risk model
conditional moment generatingfunction
integral differential equation
