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On the expected discounted penalty functions for two classes of risk processes [An article from: Insurance Mathematics and Economics]
Book Details
Author(s)S. Li, Y. Lu
PublisherElsevier
ISBN / ASINB000RR1TFQ
ISBN-13978B000RR1TF9
AvailabilityAvailable for download now
Sales Rank99,999,999
MarketplaceUnited States 🇺🇸
Description
This digital document is a journal article from Insurance Mathematics and Economics, published by Elsevier in 2005. The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.
Description:
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.
Description:
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.
