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《Chinese Journal of Engineering Mathematics》 2009-03
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On the Erlang(2) Risk Process with a Two-step Premium Rate

ZHANG Yan1,2, TIAN Zheng2, LIU Xiang-zeng2 (1 Department of Mathematics, PLA University of Science and Technology, Nanjing 211101; 2 Department of Applied Mathematics, Northwestern Polytechnical University, Xi’an 710072)  
In this paper, we consider the Erlang(2) risk process with a two-step premium rate. Firstly, the integro-differential equations and the renewal equations for the Gerber-Shiu function are derived, respectively. Secondly, the expression for the Gerber-Shiu function is deduced when the claim size is rationally distributed.
【Fund】: 国家自然科学基金(60375003);; 国家航空基金(03I53059)
【CateGory Index】: O211.67
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