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| In this paper, we consider a compound renewal
(Sparre Andersen) risk process with a two-step premium rate in which
the claim waiting times are Erlang(2) distributed. An
integro-differential equation with certain boundary condition for
Gerber-Shiu function is derived and solved, and use this result we
obtain the explicit result about the Laplace transform of the time
of ruin and ruin probability when the claim sizes are exponentially
distributed. |
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| Keywords:Compound renewal process, Erlang(2) distribution,Integro-differential equation, Gerber-Shiu dicounted penalty function, Time of ruin, Two-step premium |
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