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Ruin probabilities for Erlang(2) risk processes

✍ Scribed by David C.M Dickson; Christian Hipp

Publisher
Elsevier Science
Year
1998
Tongue
English
Weight
424 KB
Volume
22
Category
Article
ISSN
0167-6687

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✦ Synopsis

In this paper we consider a risk process in which claim inter-arrival times have an Erlang(2) distribution. We consider the infinite time survival probability as a compound geometric random variable and give expressions from which both the survival probability from initial surplus zero and the ladder height distribution can be calculated. We consider explicit solutions for the survival/ruin probability in the case where the individual claim amount distribution is phase-type, and show how the survival/ruin probability can be calculated for other individual claim amount distributions.

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