V.A. BAYRAMOV
ON THE LAPLACE TRANSFORM OF THE GERBER-SHIU FUNCTION IN A SPARRE ANDERSEN RISK MODEL WITH CONSTANT INTEREST RATE

A Sparre Andersen insurance risk model with Erlang(n)-distributed interclaim times and a constant interest force is investigated. A n-th order differential equation for the Laplace transform of the Gerber-Shiu function is derived.

Keywords: Gerber-Shiu function, Sparre Andersen risk model, Erlang(n) risk process, Laplace transform, interest rate, integro-differential equation, n-th order differential equation