The Renewal Equation for 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 two generalized renewal equations are given.

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, Shihezi University, P.R.China, 831300

会议类型: 国际会议

会议名称: The 3rd International Institute of Statistics & Management Engineering Symposium(2010 国际统计与管理工程研讨会 IISMES)

会议地点: 威海

会议语种:英文

页码: 619-623

在线出版日期: 2010-07-24（万方平台首次上网日期，不代表论文的发表时间）