研究了广义Erlang(2)风险模型,利用Lagrange展开定理得出了初值为零时破产时和破产前索赔次数的联合密度表达式,并利用概率论证的方法进一步得出了初值大于零时破产时和破产前索赔次数的联合密度.最后,用两个例子来说明前面的结论.
A geeralized Erlang(2)risk model is considered,where the individual claim amount can be an arbitrary positive random variable.First,by employing the Lagrange's expansion theorem,a closed-form expression for the joint density of the number of claims until ruin and the time to ruin is derived when the initial surplus is zero.Second,applying probabilistic arguments,a formula for the joint density of the number of claims until ruin and the time to ruin is obtained when the initial surplus is greater than zero.Finally,examples with exponential and mixture Erlang distributed claims are given,respectively,to illustrate the results.