%0 Journal Article
%T The Analysis of the Duration of the Negative Surplus for a Generalized Compound Poisson-Geometric Risk Model<br>一类推广的复合Poisson-Geometric风险模型下预警区问题的研究
%A CUI Wei
%A YU Jing-Hu
%A <br>崔巍
%A 余旌胡
%J 数学物理学报(A辑)
%D 2012
%I 
%X This paper mainly studies a generalized compound Poisson-Geometric risk model in which the income of insurance premiums is a compound Poisson process and the number of claims is a compound Poisson-Geometric process. This risk model has practical applications in the insurance industry. In this paper, the authors focus on the duration of the negative surplus(DNS) under the above risk model. By taking full advantage of the strong Markov property of the surplus process and the total expectation formula, they derive the distribution of the deficit at ruin, and the moment generating functions of the DNS.
%K Distribution of deficitzz
%K Strong Markovpropertyzz
%K Duration of the negative surpluszz
%K Moment generating functionzz<br>赤字分布
%K 强马氏性
%K 预警区间
%K 矩母函数
%U http://www.alljournals.cn/get_abstract_url.aspx?pcid=6E709DC38FA1D09A4B578DD0906875B5B44D4D294832BB8E&cid=37F46C35E03B4B86&jid=4DB553CDB5F521D8C921082E5C95EC80&aid=46DBF3E8FC2736F04FB06EAB9C112AC0&yid=99E9153A83D4CB11&vid=9971A5E270697F23&iid=CA4FD0336C81A37A&sid=DB817633AA4F79B9&eid=1371F55DA51B6E64&journal_id=1003-3998&journal_name=数学物理学报(A辑)&referenced_num=0&reference_num=0