Acta mathematica scientia,Series A ›› 2010, Vol. 30 ›› Issue (3): 656-665.

• Articles • Previous Articles     Next Articles

The Erlang (2) Risk Model with Interclaim-dependent Claim Sizes and Constant Dividend Barrier

 DONG Ying-Hui1,2, WANG Guo-Jing1   

  1. 1.Department of Mathematics and Research Center for Financial Engineering, Suzhou University, Suzhou 215006;

    2.Department of Mathematics, Suzhou Science and Technology University, Suzhou 215011
  • Received:2008-10-08 Revised:2009-11-16 Online:2010-05-25 Published:2010-05-25
  • Supported by:

    江苏省自然科学基金(KB2008155)、苏州科技学院院基金和江苏省普通高校研究生科研创新计划(CX09B-017Z)资助

Abstract:

This paper considers Erlang(2) risk process with a constant dividend barrier. The Gerber-Shiu expected discounted penalty function and the expected discounted dividend payments associated with the proposed model are investigated. Integral equations, integro-differential
equations are derived. And  the Gerber-Shiu expected discounted penalty function and the expected discounted dividend payments are analyzed.

Key words: Erlang(2) process, Interclaim-dependent claim sizes, Gerber-Shiu expected discounted penalty function, Integro-differential equation

CLC Number: 

  • 60G40
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