Title :
Finite-time ruin probability for Erlang risk model with exponential claims
Author :
Tao, Jiang ; Congyan, Tong
Author_Institution :
Finance Department, Zhejiang Gongshang University, Hangzhou, China
Abstract :
In this paper, under the conditions that the claimsize is exponentially distributed, a simple asymptotic of ruin probability for Erlang risk model within finite time is obtained. The result contained the classical Cramer-Lundberg model as special case.
Keywords :
Approximation methods; Economics; Finance; Force; Insurance; Stochastic processes; Erlang-risk model; Exponentially distributed; Ruin probability with finite time;
Conference_Titel :
Information Science and Engineering (ICISE), 2010 2nd International Conference on
Conference_Location :
Hangzhou, China
Print_ISBN :
978-1-4244-7616-9
DOI :
10.1109/ICISE.2010.5689581
