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

Author: CuiWei
Tutor: YuZuoHu
School: Wuhan University of Technology
Course: Statistics
Keywords: Deficit distribution Strong Markov property Warning interval Moment generating function
CLC: F840
Type: Master's thesis
Year: 2010
Downloads: 36
Quote: 0
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Abstract


This paper studies a class of generalized compound Poisson-Geometric risk model warning area . On the one hand , the surplus process Markov and probability theory , stochastic processes , such as the field of theoretical knowledge and methods , has been integral expression bankrupt moment deficit distribution ; On the other hand , the use of the new method is different from the martingale method by the introduction of a new stop , take full advantage of the strong Markov property of the surplus process , the stopping time calculus equations , and then get the moment generating function of the warning area . These efforts will be more practical application of background risk model introduced into bankruptcy theory to promote problem - the study of the warning area .

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CLC: > Economic > Fiscal, monetary > Insurance > Insurance Theory
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