Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
9552755 | Insurance: Mathematics and Economics | 2005 | 15 Pages |
Abstract
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.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Shuanming Li, Yi Lu,