CAJ | 학술논문

该文讨论了带常利率复合Poisson风险模型中的预警区问题.在此,作者提出了一种新的方法,其有别于Gerber于1990年提出的鞅方法,通过这种新方法,最终得到了负盈余持续时间的矩母函数及各阶矩,进而在索赔指数情形给出了精确解析式,并利用计算得到的数值结果讨论了利率变化对预警区的影响.
해문토론료대상리솔복합Poisson풍험모형중적예경구문제.재차,작자제출료일충신적방법,기유별우Gerber우1990년제출적앙방법,통과저충신방법,최종득도료부영여지속시간적구모함수급각계구,진이재색배지수정형급출료정학해석식,병이용계산득도적수치결과토론료리솔변화대예경구적영향.
In this paper,the authors discuss the duration of negative surplus of the classical compound Poisson risk model with constant interest force. By presenting a new approach different from the martingale method proposed by Gerber (1990),the moment generating functions and the moments of both the single and total duration of negative surplus are formulated. Explicit expressions are given when the claim is exponentially distributed. Finally,the influence of interest force on the duration of negative surplus is illustrated by numerical results.