Moments of the Time of Ruin,Surplus Before Ruin and the Deficit at Ruin in the Erlang(N) Risk Process  

作　　者：Yong-sheng Xing Rong Wu 

机构地区：[1]Mathematics and Information Science College, Shandong Institute of Business and Technology, Yantai 264005, China [2]School of Mathematics, Nankai University, Tianjin 300071, China

出　　处：《Acta Mathematicae Applicatae Sinica》2006年第4期599-606,共8页应用数学学报（英文版）

基　　金：Supported by the National Natural Science Foundation of China(No.10571092)

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.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.

关 键 词：Penalty function Erlang（n） risk model integro-differential equation light-tailed distribution 

分 类 号：O17[理学—数学]