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ERLANG(2) RISK PROCESSES WITH CONSTANT DIVIDED BARRIER
Niu Ming-fei #,Zhang Guo-shuai *,Qi Ji-wei,Zhang Kai-wen
School of Mathematics and Statistics, Lanzhou University
*Correspondence author
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Funding: 兰州大学青年骨干教师科研资助（No.58433）
Opened online:14 July 2008
Accepted by: none
Citation: Niu Ming-fei,Zhang Guo-shuai,Qi Ji-wei.ERLANG(2) RISK PROCESSES WITH CONSTANT DIVIDED BARRIER[OL]. [14 July 2008] http://en.paper.edu.cn/en_releasepaper/content/22841
 
 
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.
Keywords:Risk model; Constant dividend barrier; Integro-differential equation; Erlang(2) processes
 
 
 

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