The expected discounted penalty at ruin in the Erlang (2) risk process

DOI10.1016/j.spl.2004.12.015zbMath1104.91046MaRDI QIDQ1779678

Li-Juan Sun

Publication date: 1 June 2005

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2004.12.015

zbMATH Keywords

ruin probability

Mathematics Subject Classification ID

Related Items

On a renewal risk process with dependence under a Farlie–Gumbel–Morgenstern copula, Finite time ruin problems for the Erlang\((2)\) risk model, Risk model with fuzzy random individual claim amount, The risk model with stochastic premiums, dependence and a threshold dividend strategy, On the discounted penalty function in a perturbed Erlang renewal risk model with dependence, The risk model with stochastic premiums and a multi-layer dividend strategy, The distributions of the time to reach a given level and the duration of negative surplus in the Erlang(2) risk model, The Gerber-Shiu discounted penalty function: a review from practical perspectives, Erlang risk models and finite time ruin problems

Cites Work

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• Error bounds for exponential approximations of geometric convolutions
• On ruin for the Erlang \((n)\) risk process
• The surpluses immediately before and at ruin, and the amount of the claim causing ruin
• On the time to ruin for Erlang(2) risk processes.
• On the expected discounted penalty function at ruin of a surplus process with interest.
• Analysis of a defective renewal equation arising in ruin theory
• Moments of the Surplus before Ruin and the Deficit at Ruin in the Erlang(2) Risk Process
• On the Time Value of Ruin