Further developments in the Erlang(\textit{n}) risk process

DOI10.1080/03461238.2013.774112MaRDI QIDQ4576758zbMATH OpenOpenAlexFDO

Authors Agnieszka I. Bergel, A. D. E. dos Reis

Publication date 10 July 2018

Published in Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10400.5/9515

zbMATH Keywords

Erlang(\textit{n}) interclaim timesexpected discounted dividends prior to ruinfundamental Lundberg's equationgeneralized Lundberg's equationmaximum severity of ruinprobability of reaching an upper barrierSparre-Andersen risk model

Mathematics Subject Classification ID

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

Recommendations

• Ruin problems in the generalized Erlang(n) risk model
• The maximum surplus before ruin in an Erlang\((n)\) risk process and related problems
• On the distribution of dividend payments in a Sparre Andersen model with generalized Erlang(\(n\)) interclaim times
• On Erlang (2) risk model with stochastic interest rates
• scientific article; zbMATH DE number 2162630

Cites work

• A note on the maximum severity of ruin in an Erlang(n) risk process
• Analysis of the multiple roots of the Lundberg fundamental equation in the PH(n) risk model
• scientific article; zbMATH DE number 2130681 (Why is no real title available?)
• scientific article; zbMATH DE number 3333061 (Why is no real title available?)
• On ruin for the Erlang \((n)\) risk process
• On some measures of the severity of ruin in the classical Poisson model
• On the distribution of dividend payments in a Sparre Andersen model with generalized Erlang(\(n\)) interclaim times
• Some Optimal Dividends Problems
• The maximum surplus before ruin in an Erlang\((n)\) risk process and related problems

Cited in

(9)

• Ruin and dividend measures in the renewal dual risk model
• The maximum surplus before ruin in an Erlang\((n)\) risk process and related problems
• On the distribution of dividend payments in a Sparre Andersen model with generalized Erlang(\(n\)) interclaim times
• A note on the maximum severity of ruin in an Erlang(n) risk process
• Ruin problems in the generalized Erlang(n) risk model
• On dividends in the phase-type dual risk model
• scientific article; zbMATH DE number 2162630 (Why is no real title available?)
• On Erlang (2) risk model with stochastic interest rates
• Calculating the Gerber-Shiu function for Sparre Andersen process via collocation method

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