The Two Classes of Risk Processes with a Threshold Dividend Strategy

摘要：

In this paper, we consider the expected discounted penalty (Gerber-Shiu) functions for a risk model involving two independent classes of insurance risks with a threshold dividend strategy. We assumed that the two claim number processes are independent Poisson and generalized Erlang (2) processes, respectively. Two integro-differential equations systems for the Gerber-Shiu discounted penalty functions are derived. Then on this basis, it discusses the corresponding boundary conditions.

关键词： Compound Poisson Process Generalized Erlang (2) Risk Process Discounted Penalty Functions Generalized Renewal Equations Integro-differential Equations

作者: FAN Qingzhu

作者单位: Statistic and financial department, Business College, Xinjiang Shihezi University, P.R.China, 831300

会议类型: 国际会议

会议名称: 2009 International Institute of Applied Statistics Studies(2009 国际应用统计学术研讨会)

会议地点: 青岛

会议语种:英文

页码: 1-6

在线出版日期: 2009-07-25（万方平台首次上网日期，不代表论文的发表时间）