Abstract:In this paper, we consider the ruin measures for two classes of risk processes. We assume that the claim number processes are independent Poisson and generalized Erlang(n) processes, respectively. Historically, it has been assumed that the premium size is a constant. In this contribution, the premium income arrival process is a Poisson process. In this framework, both the integro-differential equation and the Laplace transform for the expected discounted penalty function are established. Explicit expressions f… Show more
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