کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
4639398 1632046 2013 13 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Joint density of the number of claims until ruin and the time to ruin in the delayed renewal risk model with Erlang(nn) claims
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
Joint density of the number of claims until ruin and the time to ruin in the delayed renewal risk model with Erlang(nn) claims
چکیده انگلیسی

In this paper, we consider a delayed renewal risk model, where the first inter-arrival time can be an arbitrary positive random variable while the following inter-arrival times are assumed to be infinitely divisible, and further the claim sizes are Erlang distributed. Applying the approach of Borovkov and Dickson (2008) [7] we derive an expression for the joint density of the number of claims until ruin and the time to ruin. The special case where the claim sizes are exponentially distributed is also considered, in which the inter-arrival times are not necessarily infinitely divisible. Finally, examples of the Erlang(nn) risk model with exponential distributed claims and the Gamma risk model with Erlang(2) distributed claims are given, respectively, to illustrate the results.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Computational and Applied Mathematics - Volume 244, 15 May 2013, Pages 102–114
نویسندگان
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