The Gerber–Shiu discounted penalty functions for a risk model with two classes of claims

In this paper, we consider the ruin problems for a risk model involving two independent classes of insurance risks. We assume that the claim number processes are independent Poisson and generalized Erlang(nn) processes, respectively. When the generalized Lundberg equation has distinct roots with positive real parts, both of the Gerber–Shiu discounted penalty functions with zero initial surplus and the Laplace transforms of the Gerber–Shiu discounted penalty functions are obtained. Finally, some explicit expressions for the Gerber–Shiu discounted penalty functions with positive initial surplus are given when the claim size distributions belong to the rational family.