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

DOI10.1007/S11766-003-0001-XzbMATH Open1102.60075OpenAlexW1994369473MaRDI QIDQ854558FDOQ854558

Authors: Gaoqin Nie, Cihua Liu, Lixia Xu 

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

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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

• On the time to ruin for Erlang(2) risk processes.
• On the Time Value of Ruin
• Aspects of risk theory
• The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function.
• Ruin probabilities for Erlang (2) risk processes
• Title not available (Why is that?)

Cited In (5)

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• The risk model of the expected discounted penalty function with constant interest force
• The expected discounted penalty function of Cox risk process with a constant interest rate
• On Erlang (2) risk model with stochastic interest rates
• The expected discounted penalty function in the generalized Erlang\((n)\) risk model with two-sided jumps and a constant dividend barrier

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