The Gerber-Shiu discounted penalty function is considered for the risk modelwith a constant dividend barrier U(t) = u + ct-S(t), S(t) = . The intergrodifferential equation is discussed and solved when claim occurrence relates to Erlang(2) process.

• 研究了有界风险模型U(t)=u+ct-S(t),S(t)=sum from i=1 to N(t)Y_i中的Gerber-Shiu函数,对索赔到达过程为Erlang(2)过程研究了Gerber-Shiu函数满足的微积分方程并进行求解。