Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5077168 | Insurance: Mathematics and Economics | 2008 | 8 Pages |
Abstract
This paper studies a Sparre Andersen model in which the inter-claim times are generalized Erlang(n) distributed. We assume that the premium rate is a step function depending on the current surplus level. A piecewise integro-differential equation for the Gerber-Shiu discounted penalty function is derived and solved. Finally, to illustrate the solution procedure, explicit expression for the Laplace transform of the time to ruin is given when the inter-claim times are generalized Erlang(2) distributed and the claim amounts are exponentially distributed.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Hu Yang, Zhimin Zhang,