双-Poisson模型下盈余首次达到给定水平的时间分析

Time Analysis of the Surplus Reaching a Given Level for the First Time Under Double-Poisson Risk Model

本文运用鞅的方法研究了双 Poisson模型下盈余首次达到给定水平的时间 ,得到了它的矩母函数以及相应的期望、二阶和三阶中心矩的具体表达式 .

In this paper,we use a martingale method to discuss the time distribution of surplus of Double-Poisson risk model reaching a given level for the first time,Furthermore,we get its moment generating function and its expect and the k th Central moments(k=2,3).