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
  • [31] Some Classes of Ideal Convergent Sequences and Generalized Difference Matrix Operator
    Mohiuddine, S. A.
    Hazarika, B.
    FILOMAT, 2017, 31 (06) : 1827 - 1834
  • [32] Strong stability in a two-dimensional classical risk model with independent claims
    Benouaret, Zina
    Aissani, Djamil
    SCANDINAVIAN ACTUARIAL JOURNAL, 2010, (02) : 83 - 92
  • [33] Stability of the matrix model in operator interpretation
    Sakai, Katsuta
    NUCLEAR PHYSICS B, 2017, 925 : 195 - 211
  • [34] The solutions of two classes of dual matrix equations
    Chen, Yinlan
    Zeng, Min
    Fan, Ranran
    Yuan, Yongxin
    AIMS MATHEMATICS, 2023, 8 (10): : 23016 - 23031
  • [35] Uncertain insurance risk process with single premium and multiple classes of claims
    Zhe Liu
    Xiangfeng Yang
    Journal of Ambient Intelligence and Humanized Computing, 2021, 12 : 7685 - 7702
  • [36] Uncertain insurance risk process with single premium and multiple classes of claims
    Liu, Zhe
    Yang, Xiangfeng
    JOURNAL OF AMBIENT INTELLIGENCE AND HUMANIZED COMPUTING, 2021, 12 (07) : 7685 - 7702
  • [37] A risk model with delayed by-claims
    Yuen, KC
    Guo, JY
    Ng, KW
    INSURANCE MATHEMATICS & ECONOMICS, 2003, 32 (03): : 481 - 481
  • [38] On the interaction risk model with delayed claims
    Wu, XY
    Yuen, KC
    INSURANCE MATHEMATICS & ECONOMICS, 2003, 32 (03): : 481 - 481
  • [39] Ruin Problems for a Discrete Time Risk Model with Two-type By-claims
    Bao Zhenhua
    Na Mingxia
    Diao Yu
    PROCEEDINGS OF THE 6TH (2014) INTERNATIONAL CONFERENCE ON FINANCIAL RISK AND CORPORATE FINANCE MANAGEMENT, VOLS. I AND II, 2014, : 474 - 479
  • [40] Hedging of defaultable claims in a structural model using a locally risk-minimizing approach
    Okhrati, Ramin
    Balbas, Alejandro
    Garrido, Jose
    STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2014, 124 (09) : 2868 - 2891
12345