| Moments of the Time of Ruin, Surplus Before Ruin and the Deficit at Ruin in the Erlang（N） Risk Process |
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| 作者姓名： | Yong-sheng Xing Rong Wu |
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| 作者单位： | [1]Mathematics and Information Science College, Shandong Institute of Business and Technology, Yantai 264005, China [2]School of Mathematics, Nankai University, Tianjin 300071, China |
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| 基金项目： | Supported by the National Natural Science Foundation of China （No. 10571092）. |
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| 摘 要： | In this paper we consider the ＂penalty＂ function in the Erlang（n） risk model. Using the integro- differential equation we established, we obtain the explicit expressions for the moments of Erlang（2） risk model. When the claim size distribution is Light-Tailed and the penalty function is bounded, we obtain the exact representations for the moments of Erlang（n） risk model.
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| 关 键 词： | 补偿函数 积分-微分方程 光尾分布 精确表征 |
| 收稿时间： | 2003-11-27 |
| 修稿时间： | 2003-11-27 |
Moments of the Time of Ruin, Surplus Before Ruin and the Deficit at Ruin in the Erlang(N) Risk Process |
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| Yong-sheng Xing Rong Wu.Moments of the Time of Ruin, Surplus Before Ruin and the Deficit at Ruin in the Erlang(N) Risk Process[J].Acta Mathematicae Applicatae Sinica,2006,22(4):599-606. |
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| Authors: | Yong-sheng Xing Rong Wu |
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| Institution: | (1) Mathematics and Information Science College, Shandong Institute of Business and Technology, Yantai, 264005, China;(2) School of Mathematics, Nankai University, Tianjin, 300071, China |
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| Abstract: | In this paper we consider the"penalty"function in the Erlang(n) risk model.Using the integro- differential equation we established,we obtain the explicit expressions for the moments of Erlang(2) risk model. When the claim size distribution is Light-Tailed and the penalty function is bounded,we obtain the exact representations for the moments of Erlang(n)risk model. |
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| Keywords: | Penalty function Erlang(n)risk model integro-differential equation light-tailed distribution |
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