在负安全负荷条件下的负余额间期及其总和

Total Duration Negative Surplus with Negative Safety Load

考虑满足负安全负荷条件的经典风险模型,通过运用鞅测度变换,把具有负安全负荷的过程转化为具有正安全负荷的过程,从而可以利用在正安全负荷过程上已有的结论,间接地计算出了原负安全负荷风险模型下,负余额间期及其总和的拉普拉斯—斯蒂阶变换的表达式,在索赔额服从指数分布情形下,给出了具体的表达式.

The classical risk model with negative safety load consided expression of the Laplace-Stieltjes transformation of total duration of negative surplus is proposed by using the martingale measure to transform negative safety load model to that is positive.And then by using given results for positive safety load,an explicit formula is obtained for case of exponential claim amount.