WHEN DOES THE SURPLUS REACH A GIVEN TARGET

被引：66
|
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
收藏
页码：115 / 119
页数：5
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