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The Gerber-Shiu Functions of a Risk Model with Two Classes of Claims and Random Income

Authors: Shan Gao

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 Gerber- Shiu functions with zero initial surplus and the probability generating functions (p.g.f.) of the Gerber-Shiu functions are obtained.

Keywords: generating function, poisson process, generalized Erlang risk process, Gerber-Shiu function, generalized Lundberg equation

Digital Object Identifier (DOI): doi.org/10.5281/zenodo.1070551

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