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Ruin probability for Gaussian integrated processes

✍ Scribed by Krzysztof Dȩbicki

Book ID
108432871
Publisher
Elsevier Science
Year
2002
Tongue
English
Weight
217 KB
Volume
98
Category
Article
ISSN
0304-4149

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Ruin probabilities for Erlang(2) risk pr
Ruin probabilities for Erlang(2) risk processes
✍ David C.M Dickson; Christian Hipp 📂 Article 📅 1998 🏛 Elsevier Science 🌐 English ⚖ 424 KB

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 ladde