Expected discounted penalty function of Erlang(2) risk model with constant interest

DOI10.1007/s11766-003-0001-xzbMath1102.60075OpenAlexW1994369473MaRDI QIDQ854558

Lixia Xu, Gaoqin Nie, Cihua Liu

Publication date: 5 December 2006

Published in: Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11766-003-0001-x

zbMATH Keywords

Laplace transformintegro-differential equationinterest ratedefective renewal equationexpected discounted penalty functionErlang(2) process

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Renewal theory (60K05)

Cites Work

• Unnamed Item
• Aspects of risk theory
• Ruin probabilities for Erlang (2) risk processes
• On the time to ruin for Erlang(2) risk processes.
• The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function.
• On the Time Value of Ruin

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