Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
4637702 | Journal of Computational and Applied Mathematics | 2017 | 16 Pages |
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.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Irmina Czarna, Yanhong Li, Zbigniew Palmowski, Chunming Zhao,