The Gerber-Shiu discounted penalty functions for a risk model with two classes of claims
Journal of Computational and Applied Mathematics
The perturbed compound Poisson risk model with two-sided jumps
Journal of Computational and Applied Mathematics
International Journal of Computer Applications in Technology
International Journal of Computer Applications in Technology
On the expected discounted penalty function for the compound Poisson risk model with delayed claims
Journal of Computational and Applied Mathematics
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In this paper, a continuous time risk model perturbed by an independent diffusion (Wiener) process is considered. The claim number process is assumed to be a generalised Erlang(2) process. Both the expected penalty functions with zero initial surplus and the Laplace transforms of the expected penalty functions are obtained from an integro-differential equations system. The analytic expressions for expected penalty functions are derived when the claim amounts are exponentially distributed. Moreover, the closed form expressions for the ruin probabilities are proposed. Finally, numerical results are also provided to illustrate the applicability of the main result.