Acta Mathematicae Applicatae Sinica

, Volume 22, Issue 4, pp 599–606 | Cite as

Moments of the Time of Ruin, Surplus Before Ruin and the Deficit at Ruin in the Erlang(N) Risk Process

  • Yong-sheng XingEmail author
  • Rong Wu
Original Papers


In this paper we consider the "penalty" function in the Erlang(n) risk model. Using the integrodifferential equation we established, we obtain the explicit expressions for the moments of Erlang(2) risk model. When the claim size distribution is Light-Tailed and the penalty function is bounded, we obtain the exact representations for the moments of Erlang(n) risk model.


Penalty function Erlang(n) risk model integro-differential equation light-tailed distribution 

2000 MR Subject Classification

62p06 60j25 


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Copyright information

© Springer-Verlag Berlin Heidelberg 2006

Authors and Affiliations

  1. 1.Mathematics and Information Science CollegeShandong Institute of Business and TechnologyYantaiChina
  2. 2.School of MathematicsNankai UniversityTianjinChina

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