The gerber-shiu expected discounted penalty function for Lévy insurance risk processes
✍ Scribed by Xiang-hua Zhao; Chuan-cun Yin
- Book ID
- 106301411
- Publisher
- Institute of Applied Mathematics, Chinese Academy of Sciences and Chinese Mathematical Society
- Year
- 2010
- Tongue
- English
- Weight
- 217 KB
- Volume
- 26
- Category
- Article
- ISSN
- 0168-9673
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In this paper, we study the Gerber-Shiu functions for a risk model with two independent classes of risks. We suppose that both of the two claim number processes are renewal processes with phase-type inter-claim times. By re-composing and analyzing the Markov chains associated with two given phase-ty
In this paper, we consider the ruin problems for a risk model involving two independent classes of insurance risks. We assume that the claim number processes are independent Poisson and generalized Erlang(n) processes, respectively. When the generalized Lundberg equation has distinct roots with posi