2007•Journal of Yanshan UniversityRequires access

On Erlang(2)risk model with stochastic premium income

Guo Dong-lin

Abstract

The risk model for which the claim inter-arrival distribution is Erlang(2)and the arrival of premium income is a compound Poisson process is considered in this paper.According to the strong Markov property of surplus process at the moments of claims,the integral equation for ruin probability is derived.Finally the Lundberg upper bound for ruin probability is obtained.

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Key concepts: Erlang (programming language), Erlang distribution, Ruin theory, Poisson process, Poisson distribution, Risk model, Compound Poisson process, Mathematics