On the number of claims until ruin in a two-barrier renewal risk model with Erlang mixtures

DOI10.1016/J.CAM.2015.08.013zbMath1339.60127OpenAlexW1450126152MaRDI QIDQ893119

Michael V. Boutsikas, Demetrios L. Antzoulakos, Athanasios C. Rakitzis

Publication date: 13 November 2015

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2015.08.013

zbMATH Keywords

numerical algorithmrenewal risk modelmixed Erlang distributionexponentially tilted probability measuretwo-sided first exit time

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stopping times; optimal stopping problems; gambling theory (60G40) Renewal theory (60K05)

Related Items (5)

The Erlang(n) risk model with two-sided jumps and a constant dividend barrier ⋮ The expected discounted penalty function in the generalized Erlang\((n)\) risk model with two-sided jumps and a constant dividend barrier ⋮ Joint density of the number of claims until ruin and the time to ruin in the delayed renewal risk model with Erlang(\(n\)) claims ⋮ On the time and aggregate claim amount until the surplus drops below zero or reaches a safety level in a jump diffusion risk model ⋮ The mean chance of ultimate ruin time in random fuzzy insurance risk model

Cites Work

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• A Wiener-Hopf Type Method for a General Random Walk with a Two-Sided Boundary

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