Article ID Journal Published Year Pages File Type
4637702 Journal of Computational and Applied Mathematics 2017 16 Pages PDF
Abstract

In this paper we propose new iterative algorithm of calculating the joint distribution of the Parisian ruin time and the number of claims until Parisian ruin for the classical risk model. Examples are provided when the generic claim size is mixed Erlang distributed. We focus on the exponentially and the Erlang(k,μ) (k≥2k≥2) distributed claim sizes.

Related Topics
Physical Sciences and Engineering Mathematics Applied Mathematics
Authors
, , , ,