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1. ERLANG(2) RISK PROCESSES WITH CONSTANT DIVIDED BARRIER | |||
Niu Ming-fei,Zhang Guo-shuai,Qi Ji-wei,Zhang Kai-wen | |||
Mathematics 14 July 2008 | |||
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Abstract:In this paper, we consider a risk process in which claim inter-arrival times have an Erlang(2) distribution, and the risk model is considered in the presence of a constant barrier. An integro-differential equation for the Gerber-Shiu function is derived and solved. We show that its solution can be expressed as the solution to the Gerber-Shiu discounted penalty function in the same risk model without barrier and a combination of two linearly independent solutions to the associated homogeneous integro-differential equation. | |||
TO cite this article:Niu Ming-fei,Zhang Guo-shuai,Qi Ji-wei, et al. ERLANG(2) RISK PROCESSES WITH CONSTANT DIVIDED BARRIER[OL].[14 July 2008] http://en.paper.edu.cn/en_releasepaper/content/22841 |
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