V.A. BAYRAMOV, R.T. ALIYEV, A.H. HASANOVA
CONSTRUCTING INTEGRO-DIFFERENTIAL EQUATION FOR THE GERBER-SHIU FUNCTION IN ERLANG(n) INSURANCE RISK MODEL WITH CONSTANT INTEREST RATE


In this paper, an Erlang(n) insurance risk model with constant interest force is investigated. An integro-differential equation which Gerber-Shiu function satisfies is derived.

Keywords: Gerber-Shiu function, Erlang(n) process, interest rate, integro-differential equation
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