The expected discounted penalty at ruin in the Erlang (2) risk process
AbstractIn this paper, under the Erlang (2) risk process, we examine the expected discounted value of a penalty at ruin, which is considered as a function of the initial surplus. We first show that the expected discounted penalty function satisfies an integro-differential equation, and give its initial value, as well as its Laplace transform. We further prove that this function is twice differentiable, and satisfies a defective renewal equation. An explicit expression for the solution of this equation can be derived. The associated compound geometric distribution and "claim size" distribution are also studied.
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Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 72 (2005)
Issue (Month): 3 (May)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
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- Lin, X. Sheldon & Willmot, Gordon E., 1999. "Analysis of a defective renewal equation arising in ruin theory," Insurance: Mathematics and Economics, Elsevier, vol. 25(1), pages 63-84, September.
- Dufresne, Francois & Gerber, Hans U., 1988. "The surpluses immediately before and at ruin, and the amount of the claim causing ruin," Insurance: Mathematics and Economics, Elsevier, vol. 7(3), pages 193-199, October.
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- Huang, Tao & Zhao, Ruiqing & Tang, Wansheng, 2009. "Risk model with fuzzy random individual claim amount," European Journal of Operational Research, Elsevier, vol. 192(3), pages 879-890, February.
- 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.
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