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：

Xing Y.-S. ^{[1
]}

Wu R. ^{[2
]}

机构：

[1] Mathematics and Information Science College, Shandong Institute of Business and Technology

[2] School of Mathematics, Nankai University

来源：

Acta Mathematicae Applicatae Sinica | 2006年 / 22卷 / 4期

基金：

中国国家自然科学基金;

关键词：

Erlang(n) risk model; Integro-differential equation; Light-tailed distribution; Penalty function;

D O I：

10.1007/s10255-006-0333-4

中图分类号：

学科分类号：

摘要：

In this paper we consider the "penalty" function in the Erlang(n) risk model. Using the integrodifferential 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 exact representations for the moments of Erlang(n) risk model. © 2006 Springer-Verlag Berlin Heidelberg.

引用

页码：599 / 606

页数：7

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