Moments of the Time of Ruin,Surplus Before Ruin and the Deficit at Ruin in the Erlang(N) Risk Process

被引：0

作者：

Yong-sheng Xing~1 Rong Wu~21 Mathematics and Information Science College

机构：

来源：

Acta Mathematicae Applicatae Sinica | 2006年 / 04期

基金：

中国国家自然科学基金;

关键词：

Penalty function; Erlang(n)risk model; integro-differential equation; light-tailed distribution;

D O I：

暂无

中图分类号：

O175.6 [积分微分方程];

学科分类号：

070104 ;

摘要：

In this paper we consider the"penalty"function in the Erlang(n) risk model.Using the integro-differential equation we established,we obtain the explicit expressions for the moments of Erlang(2) risk model.When the claim size distribution is Light-Tailed and the penalty function is bounded,we obtain the exactrepresentations for the moments of Erlang(n)risk model.

引用

页码：599 / 606

页数：8

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