LAPLACE TRANSFORM OF THE SURVIVAL PROBABILITY UNDER SPARRE ANDERSEN MODEL

被引：0
|
作者：
Sun Chuanguang Department of Mathematics
机构：
来源：
Applied Mathematics:A Journal of Chinese Universities(Series B) | 2007年 / 01期
关键词：
Andersen model; survival probability; Laplace transform; Lundberg’s fundamental equation;
D O I：
暂无
中图分类号：
O211.6 [随机过程];
学科分类号：
摘要：
In this paper a class of risk processes in which claims occur as a renewal process is studied. A clear expression for Laplace transform of the survival probability is well given when the claim amount distribution is Erlang distribution or mixed Erlang distribution. The expressions for moments of the time to ruin with the model above are given.
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页码：109 / 118
页数：10
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