Year: 2012
Communications in Mathematical Research , Vol. 28 (2012), Iss. 4 : pp. 349–358
Abstract
In this paper, we consider a Gerber-Shiu discounted penalty function in Sparre Andersen risk process in which claim inter-arrival times have a phase-type (2) distribution, a distribution with a density satisfying a second order linear differential equation. By conditioning on the time and the amount of the first claim, we derive a Laplace transform of the Gerber-Shiu discounted penalty function, and then we consider the joint density function of the surplus prior to ruin and the deficit at ruin and some ruin related problems. Finally, we give a numerical example to illustrate the application of the results.
You do not have full access to this article.
Already a Subscriber? Sign in as an individual or via your institution
Journal Article Details
Publisher Name: Global Science Press
Language: English
DOI: https://doi.org/2012-CMR-19036
Communications in Mathematical Research , Vol. 28 (2012), Iss. 4 : pp. 349–358
Published online: 2012-01
AMS Subject Headings: Global Science Press
Copyright: COPYRIGHT: © Global Science Press
Pages: 10
Keywords: Gerber-Shiu discounted penalty function phase-type (2) distribution surplus prior to ruin deficit at ruin.