The distributions of the time to reach a given level and the duration of negative surplus in the Erlang(2) risk model
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Publication:2443228
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
Laplace transform; duration of negative surplus; first hitting time; Sparre Andersen risk model; Erlang(2) inter-claim times; generalised Lundberg equation
60K10: Applications of renewal theory (reliability, demand theory, etc.)
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