A Class of Integral Equations of Erlang（2） Risk Process under Interest Force

In this paper, we consider an Erlang（2） risk model with a constant interest force for an insurance portfolio. By using the techniques of Sundt ＆ Teugels （1995） and Yang ＆ Zhang （2001a, 2001b and 2001c）, the integral equation and exponential integral equation satisfied by survival probability have been obtained. Then we have investigated the two-order differential equation satisfied by the Laplace-Stieltjes transform of survival probability.