Explicit expressions for the ruin probabilities of Erlang risk processes with Pareto individual claim distributions (Q1884660)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Explicit expressions for the ruin probabilities of Erlang risk processes with Pareto individual claim distributions |
scientific article |
Statements
Explicit expressions for the ruin probabilities of Erlang risk processes with Pareto individual claim distributions (English)
0 references
5 November 2004
0 references
The risk process in which claim arrival times have an Erlang distribution and the claim size follows a Pareto distribution is considered. An explicit expression for the probability of ruin \(\Psi(n)\) is given. It is shown that \(\Psi(n)\) can be expressed as the sum of expected values of functions of gamma random variables. Numerical examples of the main results are given.
0 references
ruin probability
0 references
Erlang process
0 references
Pareto distribution
0 references
Laplace transform
0 references
removable singularity
0 references
contour integration
0 references
