改进后的复合Poisson-Geometric风险模型盈余首达时间分析

摘要

Be improved which the claim numbers is a Poission⁃Geometric process in the paper. Using the martingale method,the time when the surplus reaches a level firstly is considered,and its Laplace translation and its mean and k⁃th central moments (k=2,3)are obtained.%对赔付为复合Poisson⁃Geometric的经典风险模型进行改进，并运用鞅的方法对改进后的模型进行研究，得到盈余首次达到给定水平时刻的拉氏变换以及相应的期望、方差和3阶中心矩的具体表达式。