Journal of Pure and Applied Mathematics: Advances and ApplicationsAuthor's: Yuzhen Wen
Pages: [87] - [104]
Received Date: January 3, 2010; Revised January 26, 2010
Submitted by:
In this paper, we consider a risk model with debit interest and a constant dividend barrier. We assume that the claim number process is the generalized Erlang (n) process. For this model, the moment-generation function, the moments of the discounted dividend payments, and the Gerber-Shiu discounted penalty function are investigated. Integral equations and integro-differential equations with certain boundary conditions for them are derived.
absolute ruin, Gerber-Shiu expected discounted penalty function, moment-generation function, generalized Erlang process.
