Article ID Journal Published Year Pages File Type
5077507 Insurance: Mathematics and Economics 2010 7 Pages PDF
Abstract
We consider the Erlang(2) risk model and derive expressions for the density of the time to ruin and the joint density of the time to ruin and the deficit at ruin when the individual claim amount distribution is (i) an exponential distribution and (ii) an Erlang(2) distribution. We also consider the special case when the initial surplus is zero.
Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
Preview
Finite time ruin problems for the Erlang(2) risk model
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