On the Gerber-Shiu Functions for a Risk Model with Dividends Involving Two Classes of Insurance Risks

In this paper,we consider the Gerber-Shiu expected discounted penalty functions for a risk model involving two independent classes of insurance risks with a dividend barrier.We assume that the two claim number processes are independent Poisson and generalized Erlang(2) processes,respectively.Integro-differential equations with boundary conditions for the Gerber-Shiu discounted penalty functions are derived.In particular,explicit results are derived when the claims from both classes have the same exponential distribution.Finally,an example is given.