Finite time ruin problems for the Erlang(2) risk model
AbstractWe consider the Erlang(2) risk model and derive expressions for the density of the time to ruin and the joint density of the time to ruin and the deficit at ruin when the individual claim amount distribution is (i) an exponential distribution and (ii) an Erlang(2) distribution. We also consider the special case when the initial surplus is zero.
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Bibliographic InfoArticle provided by Elsevier in its journal Insurance: Mathematics and Economics.
Volume (Year): 46 (2010)
Issue (Month): 1 (February)
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Web page: http://www.elsevier.com/locate/inca/505554
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- Mazza, Christian & Rulliere, Didier, 2004. "A link between wave governed random motions and ruin processes," Insurance: Mathematics and Economics, Elsevier, vol. 35(2), pages 205-222, October.
- Borovkov, Konstantin A. & Dickson, David C.M., 2008. "On the ruin time distribution for a Sparre Andersen process with exponential claim sizes," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 1104-1108, June.
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- Dickson, David C. M. & Hipp, Christian, 2001. "On the time to ruin for Erlang(2) risk processes," Insurance: Mathematics and Economics, Elsevier, vol. 29(3), pages 333-344, December.
- Li, Shuanming & Garrido, Jose, 2004. "On ruin for the Erlang(n) risk process," Insurance: Mathematics and Economics, Elsevier, vol. 34(3), pages 391-408, June.
- Dickson, David C.M. & Li, Shuanming, 2013. "The distributions of the time to reach a given level and the duration of negative surplus in the Erlang(2) risk model," Insurance: Mathematics and Economics, Elsevier, vol. 52(3), pages 490-497.
- Feng, Runhuan & Volkmer, Hans W., 2012. "Modeling credit value adjustment with downgrade-triggered termination clause using a ruin theoretic approach," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 409-421.
- Frostig, Esther & Pitts, Susan M. & Politis, Konstadinos, 2012. "The time to ruin and the number of claims until ruin for phase-type claims," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 19-25.
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