- Hacettepe Journal of Mathematics and Statistics
- Vol: 44 Issue: 4
- Analysis of ruin measures for two classes of risk processes with stochastic income
Analysis of ruin measures for two classes of risk processes with stochastic income
Authors : Wuyuan Jiang, Chaoqun Ma
Pages : 909-921
View : 12 | Download : 4
Publication Date : 2015-08-01
Article Type : Research
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 con tribution, 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 for the expected discounted penalty function are derived when the claim amount distributions belong to the rational family. Finally, numerical examples are considered.Keywords : Two classes of risk processes, Expected discounted penalty function, Integro-differential equation, Laplace transform, Stochastic income