The Gerber-Shiu Discounted Penalty Function for the Risk Model with Phase-Type Inter Claim Times
作者: 肖菊霞 ：山西师范大学数学与计算机科学学院，临汾;
Abstract: 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.
文章引用: 肖菊霞 (2014) 带常利率的时间间隔为相位的Gerber-Shiu折现罚金函数。 理论数学， 4， 144-150. doi: 10.12677/PM.2014.44022
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