scientific article; zbMATH DE number 5952154

MaRDI QIDQ3169797zbMATH OpenFDO

Authors Guohong Sun, Chunsheng Zhang

Publication date 29 September 2011

zbMATH Keywords

diffusion processgeneralized Erlang (\(n\)) claim waiting timeintegro-differential equationSparre Andersen risk model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(3)

• Ruin time and aggregate claim amount up to ruin time for the perturbed risk process
• The maximum surplus before ruin in a generalized Erlang (n) risk process perturbed by diffusion
• Localization of the spectrum and representation of solutions of linear dynamical systems

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