Acta mathematica scientia,Series A ›› 2012, Vol. 32 ›› Issue (1): 27-40.

• Articles • Previous Articles     Next Articles

The Analysis of the Duration of the Negative Surplus for a Generalized Compound Poisson-Geometric Risk Model

 CUI Wei, YU Jing-Hu   

  1. Department of Mathematics, School of Science, Wuhan University of Technology, Wuhan 430070)
  • Received:2010-08-13 Revised:2011-12-30 Online:2012-02-25 Published:2012-02-25

Abstract:

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.

Key words: Distribution of deficit, Strong Markovproperty, Duration of the negative surplus, Moment generating function

CLC Number: 

  • 60J75
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