Title of article
On ruin for the Erlang(n) risk process
Author/Authors
Li، نويسنده , , Shuanming and Garrido، نويسنده , , José، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2004
Pages
18
From page
391
To page
408
Abstract
A defective renewal equation is derived for the expected discounted penalty due at ruin, φδ(u)=E[e−δTw(U(T−),|U(T)|)I(T<∞)|U(0)=u],in a risk model with Erlang(n) claim inter-arrival times. The approach used is similar to that of Gerber and Shiu (1998), repeatedly integrating an nth order integro-differential equation for φ, n times. The joint distribution of three random variables is obtained, the ruin time, the surplus just before ruin and the deficit at ruin.
Keywords
Erlang claim inter-arrival times , Sparre Andersen risk model , Ruin time , Deficit at ruin , Surplus before ruin , Expected discounted penalty due at ruin
Journal title
Insurance Mathematics and Economics
Serial Year
2004
Journal title
Insurance Mathematics and Economics
Record number
1542758
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