In this paper we consider the ＂penalty＂ function in the Erlang（n） risk model. Using the integro- differential equation we established, we obtain the explicit expressions for the moments of Erlang（2） risk model. ...In this paper we consider the ＂penalty＂ function in the Erlang（n） risk model. Using the integro- differential 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.展开更多
基金Supported by the National Natural Science Foundation of China(No.10571092)
文摘In this paper we consider the ＂penalty＂ function in the Erlang（n） risk model. Using the integro- differential 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.
