Abstract:

We considered a perturbed renewal risk model with two classes of claims, for which both the two claim number processes are renewal processes with Phase interclaim time. We derived the integrodifferential equations of the GerberShiu functions and obtained the analytical solutions, and when the densities of the two classes of claims belong to rational family, we got some explicit expressions. Finally, we gave a numerical example to illustrate theses results.

Key words: two classes of claims, perturbed risk model, GerberShiu function, integrodifferential equations