| 复合Poisson-Geometric风险模型下盈余首次达到给定水平的时间分析 |
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| 引用本文： | 赵金娥,王贵红,龙瑶.复合Poisson-Geometric风险模型下盈余首次达到给定水平的时间分析[J].云南民族大学学报(自然科学版),2012,21(1):26-29. |
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| 作者姓名： | 赵金娥 王贵红 龙瑶 |
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| 作者单位： | 1. 红河学院数学学院,云南蒙自,661100
2. 蚌埠学院应用化学与环境工程系,安徽蚌埠,233030 |
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| 基金项目： | 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) |
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| 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.
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| 关 键 词： | Poisson-Geometric过程 鞅 停时 |
Time Analysis of the Surplus Reaching a Given Level for the First Time in the Compound Poisson-Geometric Risk Model |
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| ZHAO Jin-e
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WANG Gui-hong
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LONG Yao.Time Analysis of the Surplus Reaching a Given Level for the First Time in the Compound Poisson-Geometric Risk Model[J].Journal of Yunnan Nationalities University:Natural Sciences Edition,2012,21(1):26-29. |
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| Authors: | ZHAO Jin-e WANG Gui-hong LONG Yao |
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| Institution: | 1.College of Mathematics,Honghe University,Mengzi 661100,China;2.Department of Computation and Science,Yuxi Agricultural Vocational College,Yuxi 653106,China) |
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| Abstract: | A risk model,in which the premium income follows the compound Poisson process and the claim numbers is a compound Poisson-Geometric process,is proposed.By applying the martingale approach,Laplace transformation 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. |
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| Keywords: | Poisson-Geometric process martingale stopping time |
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