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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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1 LIU DONGHAI (Department of Mathematics,Central South University,Changsha 410075) (Department of Mathematics,Hunan University of Science and Technology,Xiangtan 411201) LIU ZAIMING (Department of Mathematics,Central South University,Changsha 410075) GONG RIZHAO (Department of Business,Hunan University of Science and Technology,Xiangtan 411201);A General Class of Semiparametric Rates Models for Recurrent Event Data[J];Acta Mathematicae Applicatae Sinica;2010-02
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【Co-citations】
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1 ZHAO Jin-e1,WANG Gui-hong2,LONG Yao1,CUI Xiang-zhao1(1.College of Mathematics,Honghe University,Mengzi 661100,China;2.Department of Computation and Science,Yuxi Agricultural Vocation College,Yuxi 653106,China);Compound Poisson Risk Model by Diffusion of a Linear Dividend Barrier[J];Journal of Chongqing University of Technology(Natural Science);2010-03
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3 FAN Qing-zhu1,2,YIN Chuan-cun2(1-Department of Business Information,School of Business,Shihezi University,Wujiaqu Xinjiang 831300;2-School of Mathematics,Qufu Normal University,Qufu 273165);On the Gerber-Shiu Functions for a Risk Model with Dividends Involving Two Classes of Insurance Risks[J];Chinese Journal of Engineering Mathematics;2009-01
4 LIU Xiang-zeng1,TIAN Zheng1,ZHANG Yan2 (1-Department of Applied Mathematics,Northwestern Polytechnical University Xi’an 710072; 2-Department of Mathematics,PLA University of Science and Technology,Nanjing 211101);The Expected Discounted Penalty Function for the Erlang(2) Risk Model with a Threshold Strategy Under Constant Interest[J];Chinese Journal of Engineering Mathematics;2010-02
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【Co-references】
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1 LI Suo_ping1, LIU Kun_hui2 (1. School of Sciences, Lanzhou University of Science and Techology, Lanzhou 730050,China; 2.School of Sciences, Beijing JiaoTong University, Beijing 100044,China);HJB Equations Subject to Stochastic Control Theory and Securities Investment Models[J];Journal of Northern Jiaotong University;2003-06
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3 GAO He-li~(1,2) YIN Chuan-cun~1 1.Dept.of Math.and Inform.Sci.,Binzhou Univ.,Binzhou 256603,China; 2.School of Math.Sci.,Qufu Normal Univ.,Qufu 273165,China;Compound Poisson risk model with double-threshold dividend strategy[J];Applied Mathematics A Journal of Chinese Universities(Ser.A);2008-04
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