On the expected discounted penalty functions for two classes of risk processes under a threshold dividend strategy
نویسندگان
چکیده
منابع مشابه
The Gerber-Shiu Penalty Function for a Risk Process with Two Classes of Claims under a Multi-layer Dividend Strategy
In this paper we consider a risk model with two classes of insurance risks in the presence of a multi-layer dividend startegy. We assume that the two claim counting processes are, respectively, Poisson and Sparre Andersen with generalized Erlang(2) claim inter-arrival times. We derive an integro-differential equation system for the Gerber-Shiu functions for surplus-dependent premium rates and a...
متن کاملOn the Expected Discounted Penalty Function for a Risk Model with Two Classes of Claims and Random Incomes
In this paper, we consider a risk model with two independent classes of insurance risks and random incomes. We assume that the two independent claim counting processes are, respectively, the Poisson and the Erlang(2) process. When the individual premium sizes are exponentially distributed, the explicit expressions for the Laplace transforms of the expected discounted penalty functions are deriv...
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The Expected Discounted Penalty Function (EDPF) was introduced in a series of now classical papers [Gerber, H.U., Shiu, E.S.W., 1997. The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin. Insurance: Math. Econ. 21, 129–137; Gerber, H.U., Shiu, E.S.W., 1998a. On the time value of ruin. N. Am. Actuar. J. 2 (1), 48–78; Gerber, H.U., Shiu, E.S.W.,...
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ژورنال
عنوان ژورنال: Journal of Computational and Applied Mathematics
سال: 2009
ISSN: 0377-0427
DOI: 10.1016/j.cam.2009.06.030