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.2013.02.013zbMath1284.91227OpenAlexW2045272600MaRDI 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 transformduration of negative surplusfirst hitting timeSparre Andersen risk modelErlang(2) inter-claim timesgeneralised Lundberg equation

Mathematics Subject Classification ID

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

Related Items (10)

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

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