The ruin time under the Sparre Andersen dual model (Q2015470): Difference between revisions
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Revision as of 00:24, 20 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The ruin time under the Sparre Andersen dual model |
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The ruin time under the Sparre Andersen dual model (English)
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23 June 2014
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The paper deals with the Sparre Andersen dual risk model, where the times between positive gains are i.i.d. with a generalized Erlang(\(n\)) distribution. In particular, the authors derive a suitable homogeneous integro-differential equation related to the Laplace transform of the ruin time. Then the solution of the aforementioned equation is given, after the number of roots of the Lundberg equation has been studied. Finally, within the considered Sparre Andersen dual model, some results involving the expected discounted dividends are framed.
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generalized Erlang(\(n\)) innovation times
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generalized Lundberg equation
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Laplace transform
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Sparre Andersen dual risk model
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