The distributions of the time to reach a given level and the duration of negative surplus in the Erlang(2) risk model

DOI10.1016/j.insmatheco.2013.02.013zbMath1284.91227MaRDI QIDQ2443228

David C. M. Dickson, Shuanming Li

Publication date: 4 April 2014

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2013.02.013

zbMATH Keywords

Laplace transform; duration of negative surplus; first hitting time; Sparre Andersen risk model; Erlang(2) inter-claim times; generalised Lundberg equation

Mathematics Subject Classification ID

60K10: Applications of renewal theory (reliability, demand theory, etc.)

Related Items

SOME ADVANCES ON THE ERLANG(n) DUAL RISK MODEL, Nonparametric estimation of the finite time ruin probability in the classical risk model, On the time and aggregate claim amount until the surplus drops below zero or reaches a safety level in a jump diffusion risk model, Exit times, overshoot and undershoot for a surplus process in the presence of an upper barrier, On the number of claims until ruin in a two-barrier renewal risk model with Erlang mixtures, On the time value of Parisian ruin in (dual) renewal risk processes with exponential jumps, Moments of deficit duration and its proportion in general compound binomial model, Occupation times for spectrally negative Lévy processes on the last exit time, Occupation times in the MAP risk model, An occupation time related potential measure for diffusion processes

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