多险种多复合Poisson-Geometric常利率风险模型预警区问题

Duration of negative surplus for the multi-compound poisson-geometric risk model of multi-type-insurance with a constant interest rate

建立多险种多复合Poisson-Geometric过程的常利率风险模型,充分应用盈余过程的强马氏性,得到第一预警区的一个条件矩母函数所满足的积分-微分方程,当c=0时给出具体的实例以解释我们的结果.

A multi-compound Poisson-Geometric risk model of multi-type-insurance with a constant interest rate is constructed,by taking full advantage of the strong Markv property of the surplus process,a integral-differential equation of a conditional moment genetating function for the first duration of negative surplus has been obtained.Finally,we give an explicit example to illustrate our results when c equals to zero.