摘要
研究了一类推广的复合Poisson-Geometric风险模型,该模型在保险实务中有着实际应用背景。运用鞅方法,研究了盈余首次到达给定水平的时间问题,得到了它的矩母函数以及相应的期望和二阶矩的具体表达式,为保险公司的财务精算分析提供了理论支持。
A generalized compound Poisson-Geometric risk model was discussed.This risk model has practical application in the insurance industry.By martingale approach,the time distribution of the surplus reaching a given target for the first time was investigated.And its moment generating function,corresponding expectation and the second central moment were obtained.It provides theoretical support for financial actuarial analysis in insurance company.
出处
《武汉理工大学学报（信息与管理工程版）》
CAS
2011年第1期128-131,共4页
Journal of Wuhan University of Technology：Information & Management Engineering
