The Gerber-Shiu Functions of a Risk Model with Two Classes of Claims and Random Income
نویسنده
چکیده
Abstract—In this paper, we consider a risk model involving two independent classes of insurance risks and random premium income. We assume that the premium income process is a Poisson Process, and the claim number processes are independent Poisson and generalized Erlang(n) processes, respectively. Both of the GerberShiu functions with zero initial surplus and the probability generating functions (p.g.f.) of the Gerber-Shiu functions are obtained.
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