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
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