Ruin probability in Sparre Andersen risk model with claim inter-arrival times distributed as Erlang
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Publication:889425
DOI10.1007/s11464-015-0492-9zbMath1335.91037OpenAlexW1103453012MaRDI QIDQ889425
Shuaiqi Zhang, Guangkun Sun, Guoxin Liu
Publication date: 6 November 2015
Published in: Frontiers of Mathematics in China (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11464-015-0492-9
ruin probabilitySparre Andersen risk modelCramér-Lundberg approximationErlang inter-claim timesLundberg bound
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Cites Work
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- A perturbed risk process compounded by a geometric Brownian motion with a dividend barrier strategy
- The maximum surplus before ruin in an Erlang\((n)\) risk process and related problems
- Moments of the Surplus before Ruin and the Deficit at Ruin in the Erlang(2) Risk Process
- On a Class of Renewal Risk Processes
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