The Analysis of the Duration of the Negative Surplus for a Generalized Compound Poisson-Geometric Risk Model
一类推广的复合Poisson-Geometric风险模型下预警区问题的研究

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.