Laplace transform of the survival probability under Sparre Andersen model

被引：1
|
作者：
Sun C. [1 ,2 ]
机构：
[1] Department of Mathematics, Qufu Normal University
[2] Deparment of Basic Science, Shandong Water Polytechnic
来源：
Applied Mathematics-A Journal of Chinese Universities | 2007年 / 22卷 / 1期
基金：
中国国家自然科学基金;
关键词：
Andersen model; Laplace transform; Lundberg's fundamental equation; Survival probability;
D O I：
10.1007/s11766-007-0014-y
中图分类号：
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. © Editorial Committee of Applied Mathematics 2007.
引用
收藏
页码：109 / 118
页数：9
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