2011•Science Technology and EngineeringRequires access
Two Correlated Aggregate Claims Risk Model with a Constant Dividend Barrier
Bingyu Kou
Open publisher page 0 citations
Abstract
The Gerber-Shiu expected discounted penalty functions for a risk model with two dependent classes of insurance business is considered in the presence of a constant dividend barrier.Claim occurrence of both classes relate to Poisson and generalized Erlang(2) processes.Integro-differential equations with boundary conditions for the Gerber-Shiu expected discounted penalty functions and the explicit expression of the Gerber-Shiu expected discounted penalty functions are derived.