报告人： 张志民 博士(重庆大学)

时间：本周三（2010年5月12日）上午10点

摘要：

In this paper, we consider a Sparre Andersen risk model perturbed by a spectrally negative Levy process. Assuming that the the interclaim times follow a Coxian distribution, we show that the Laplace transforms for the Gerber-Shiu functions can be obtained by employing the roots of a generalized Lundberg equation. When the spectrally negative Levy process is a combination of a Brownian motion and a compound Poisson process with exponential jumps, explicit expressions and asymptotic formulas for the Gerber-Shiu functions are obtained for exponential claims and heavy-tailed claims, respectively.

(责任编辑：llz)