Vol.4 No.4 (July 2014)
The Gerber-Shiu Discounted Penalty Function for the Risk Model with Phase-Type Inter Claim Times
Research in the phase-type distribution has an important influence for the research of other dis-tributions on the positive real axis. It considers the risk model with the phase-type inter-claim times and for constant interest, it first derives the integral-differential equation satisfied by the Gerber-Shiu discounted penalty function. Then through a series of deriving, it obtains the volterra integral equation in a form of matrix. It gets a method of solving the Gerber-Shiu expected penalty function.
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 《现代应用数学手册》编委会 (2006) 现代应用数学手册, 分析与方程卷. 清华大学出版社, 北京, 921-963.