| LAPLACE TRANSFORM OF THE SURVIVAL PROBABILITY UNDER SPARRE ANDERSEN MODEL |
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| 作者姓名： | Sun Chuanguang |
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| 作者单位： | [1]Department of Mathematics, Qufu Normal University, Qufu 273165, China [2]Department of Basic Science, Shandong Water Polytechnic, Rizhao 276826, China |
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| 基金项目： | 国家自然科学基金
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山东省自然科学基金
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教育部重点项目 |
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| 摘 要： | In this paper a class of risk processes in which claims occur as a renewal process is studied. A clear expression for Laplace transform of the survival probability is well given when the claim amount distribution is Erlang distribution or mixed Erlang distribution. The expressions for moments of the time to ruin with the model above are given.
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| 关 键 词： | 生存概率 风险过程 Andersen模型 拉普拉斯变换 |
| 收稿时间： | 2006-03-20 |
Laplace transform of the survival probability under Sparre Andersen model |
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| Sun Chuanguang.LAPLACE TRANSFORM OF THE SURVIVAL PROBABILITY UNDER SPARRE ANDERSEN MODEL[J].Applied Mathematics A Journal of Chinese Universities,2007,22(1):109-118. |
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| Authors: | Sun Chuanguang |
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| Institution: | (1) Department of Mathematics, Qufu Normal University, Qufu, 273165, China;(2) Deparment of Basic Science, Shandong Water Polytechnic, Rizhao, 276826, China |
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| Abstract: | In this paper a class of risk processes in which claims occur as a renewal process is studied. A clear expression for Laplace transform of the survival probability is well given when the claim amount distribution is Erlang distribution or mixed Erlang distribution. The expressions for moments of the time to ruin with the model above are given. |
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| Keywords: | Andersen model survival probability Laplace transform Lundberg's fundamental equation |
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