The Gerber-Shiu Functions of a Risk Model with Two Classes of Claims and Random Income

In this paper, we consider a risk model involving two independent classes of insurance risks and random premium income. We assume that the premium income process is a Poisson Process, and the claim number processes are independent Poisson and generalized Erlang(n) processes, respectively. Both of the Gerber- Shiu functions with zero initial surplus and the probability generating functions (p.g.f.) of the Gerber-Shiu functions are obtained.

• Shan Gao

• Poisson process
• generalized Erlang risk process
• Gerber-Shiu function
• generating function
• generalized Lundberg equation.

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