In the classical Poisson risk model, we find an analytical solution of Gerber-Shiu equation when the claim size distribution is an Erlang, by mean of Laplace transform.
Carleo, A., Pietroluongo, M. (2005). On Gerber-Shiu equation with Erlang claims. In Proceedings of the Workshop on “New Mathematical Methods in Risk Theory”.
On Gerber-Shiu equation with Erlang claims
CARLEO, Alessandra;
2005-01-01
Abstract
In the classical Poisson risk model, we find an analytical solution of Gerber-Shiu equation when the claim size distribution is an Erlang, by mean of Laplace transform.File in questo prodotto:
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