Abstract
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.
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Supported by the National Natural Science Foundation of China (No. 10571092).
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Xing, Ys., Wu, R. Moments of the Time of Ruin, Surplus Before Ruin and the Deficit at Ruin in the Erlang(N) Risk Process. Acta Math. Appl. Sin, Engl. Ser. 22, 599–606 (2006). https://doi.org/10.1007/s10255-006-0333-4
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DOI: https://doi.org/10.1007/s10255-006-0333-4