کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
9552755 | 1374144 | 2005 | 15 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
On the expected discounted penalty functions for two classes of risk processes
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
In this paper, we consider the expected discounted penalty (Gerber-Shiu) functions for a risk model involving two independent classes of insurance risks. We assume that the two claim number processes are independent Poisson and generalized Erlang(2) processes, respectively. Laplace transforms of two types of the Gerber-Shiu functions at ruin are derived from an integro-differential equations system. Explicit results are derived when the claims from both classes are exponentially distributed. Finally, asymptotic results are obtained when the compound Poisson process converges weakly to a Wiener process. Numerical illustrations are also given.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 36, Issue 2, 22 April 2005, Pages 179-193
Journal: Insurance: Mathematics and Economics - Volume 36, Issue 2, 22 April 2005, Pages 179-193
نویسندگان
Shuanming Li, Yi Lu,