WHEN DOES THE SURPLUS REACH A GIVEN TARGET

被引：67

作者：

GERBER, HU

机构：

[1] Ecole des H.E.C., University of Lausanne

来源：

INSURANCE MATHEMATICS & ECONOMICS | 1990年 / 9卷 / 2-3期

关键词：

Collective risk theory; Generalized Poisson distribution; Lagrange's formula; Martingales; Passage times;

D O I：

10.1016/0167-6687(90)90022-6

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

In the classical model of risk theory a martingale method is used to compute the distributions of the first and last passage times (and of their difference) of the surplus process at a given level. As a byproduct a certain probabilistic identity related to Lagrange's formula is derived; furthermore Consul's generalized Poisson distribution is explained. © 1990.

引用

页码：115 / 119

页数：5

共 7 条

[1]

CONSUL PC, 1990, B SWISS ASS ACTUARIE

[2]

COUSUL PC, 1973, TECHNOMETRICS, V15, P791

[3] THE SURPLUSES IMMEDIATELY BEFORE AND AT RUIN, AND THE AMOUNT OF THE CLAIM CAUSING RUIN [J].