A matrix operator approach to a risk model with two classes of claims

被引：0
|
作者：
Hua Dong
Zaiming Liu
机构：
[1] Qufu Normal University,School of Mathematics
[2] Central South University,School of Mathematics
来源：
Frontiers of Mathematics in China | 2012年 / 7卷
关键词：
Gerber-Shiu function; phase-type distribution; Dickson-Hipp operator; 91B30;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
In this paper, we study a risk model with two independent classes of risks, in which both claim number processes are renewal processes with phasetype inter-arrival times. Using a generalized matrix Dickson-Hipp operator, a matrix Volterra integral equation for the Gerber-Shiu function is derived. And the analytical solution to the Gerber-Shiu function is also provided.
引用
收藏
页码：437 / 448
页数：11
相关论文
共 50 条
  • [1] A matrix operator approach to a risk model with two classes of claims
    Dong, Hua
    Liu, Zaiming
    FRONTIERS OF MATHEMATICS IN CHINA, 2012, 7 (03) : 437 - 448
  • [2] Ruin Probabilities for a Risk Model with Two Classes of Claims
    Tong Ling LV Department of Mathematics
    ActaMathematicaSinica(EnglishSeries), 2010, 26 (09) : 1749 - 1760
  • [3] Ruin probabilities for a risk model with two classes of claims
    Tong Ling Lv
    Jun Yi Guo
    Xin Zhang
    Acta Mathematica Sinica, English Series, 2010, 26 : 1749 - 1760
  • [4] Ruin probabilities for a risk model with two classes of claims
    Lv, Tong Ling
    Guo, Jun Yi
    Zhang, Xin
    ACTA MATHEMATICA SINICA-ENGLISH SERIES, 2010, 26 (09) : 1749 - 1760
  • [5] On the expected discounted penalty function for a risk model with two classes of claims and random incomes
    Xie, Jie-hua
    Zou, Wei
    HACETTEPE JOURNAL OF MATHEMATICS AND STATISTICS, 2015, 44 (02): : 485 - 501
  • [6] The Gerber-Shiu discounted penalty functions for a risk model with two classes of claims
    Zhang, Zhimin
    Li, Shuanming
    Yang, Hu
    JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, 2009, 230 (02) : 643 - 655
  • [7] Transform approach for discounted aggregate claims in a risk model with descendant claims
    Yoo, Hyunjoo
    Kim, Bara
    Kim, Jeongsim
    Jang, Jiwook
    ANNALS OF OPERATIONS RESEARCH, 2020, 293 (01) : 175 - 192
  • [8] Transform approach for discounted aggregate claims in a risk model with descendant claims
    Hyunjoo Yoo
    Bara Kim
    Jeongsim Kim
    Jiwook Jang
    Annals of Operations Research, 2020, 293 : 175 - 192
  • [9] Tail behavior for the sum of two correlated classes of discounted aggregate claims in a time-dependent risk model
    Fu, Ke-Ang
    Li, Jie
    COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2017, 46 (05) : 2559 - 2570
  • [10] Ruin Probabilities in a Risk Model with Two Types of Claims
    Han, Ji-Yeon
    Choi, Seung Kyoung
    Lee, Eui Yong
    KOREAN JOURNAL OF APPLIED STATISTICS, 2012, 25 (05) : 813 - 820
12345