理赔量和理赔间隔时间相依的Erlang(2)风险模型

A class of Erlang(2) risk model with dependence between claim sizes and claim intervals

考虑理赔量和理赔间隔时间相依,理赔间隔时间服从Erlang(2)分布的风险模型.通过求取生存概率的Laplace变换,并对其进行Laplace逆变换,可以得到生存概率的显示表达式.

A class risk process where claim occur as an Erlang（2） process and claim interoccurrence times is dependent on claim sizes is considered. The Laplace transforms on survival probabilities is calculated, which can be inverted to obtain the exact formulae of survival probabilities.