k

( λ ( t ) ) e−λ ( t )
{
P ( N ( t )=k|k > 0 )= k ! ( 1−e−λ ( t )) , k=1,2,3 , …
0 , k lainnya

λ ( t ) e λ ( t)
E [ N ( t ) ]=
e λ (t )−1

λ ( t ) e λ (t ) λ (t )
Var [ N ( t ) ]= λ (t )
e −1 [ 1− λ (t )
e −1 ]
t2

λ ( t )=∫ N p ( t ) h ( t ) dt
t1

f (t)
h ( t )=
1−F ( t )

Generalized Pareto
1
1 x−μ −1−
f ( x )=
σ (
1+ k
σ ) k

−1
x−μ
F ( x )=1− 1+k
σ ( ) k

Weibull

α −1 α
α x x

{
f ( x )= β β () exp −

0
( ( )) β

E [ X i ]= βΓ 1+ ( α1 ),
2
2
α
2
Var [ X i ]=β Γ 1+ − Γ 1+
1
α [( ) [ ( )] ] .
 n 1

( )
α^ α^
∑ xi
^β= i=1
n
n

∑ ( x αi^ ln x i ) 1 1
n
i=1
n
− = ∑ ln x i
α^ n i=1
∑ x αi^
i=1

S ( t ) =f ( N ( t ) , X t )

S ( t ) =X 1 + X 2 +…+ X N (t )
 ^ ^ λ (t )
^ ^ ^ ¿ ^β Γ 1+ 1 λ ( t ) e
E [ S ( t ) ]= E [ X t ] E [ N ( t ) ]
α^ e ^
λ( t )
−1
( )
2 ^ ^
λ ( t ) eλ( t )
^ ^^ ^2 ^ ^ 2
{( ) [ ( )] } e
2 1
Var [ S ( t ) ] =Var [ X t ] E [ N ( t ) ] + ¿ ( E [ X t ]) Var [ N ( t ) ] ¿ ¿ β Γ 1+ α^ − Γ 1+ α^ ^
λ (t )
−1
^
2 ^ ^
[ ]
λ (t )
1 λ (t )e λ (t )
( ( ))
+ ^β Γ 1+
α^ ^
e λ (t )−1
1− ^
e λ ( t) −1

1
P (|μ−^μ|≥ k σ^2 ) ≤ 2
√ k

μ= μ^ + k σ^2
√
(T r Generalized Pareto ( μr , σ r ) )

( Xr Weibull ( α r , βr ) )