• DocumentCode
    2106580
  • 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
  • fYear
    2010
  • fDate
    4-6 Dec. 2010
  • Firstpage
    5854
  • Lastpage
    5856
  • 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;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Information Science and Engineering (ICISE), 2010 2nd International Conference on
  • Conference_Location
    Hangzhou, China
  • Print_ISBN
    978-1-4244-7616-9
  • Type

    conf

  • DOI
    10.1109/ICISE.2010.5689581
  • Filename
    5689581
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=2106580