ScholarLens Back to search
2011•Journal of Liaoning Normal UniversityRequires access

On ruin for the generalized Erlang(n) risk model with constant interest force

Liu He

Open publisher page 0 citations

Abstract

In this paper we consider a Sparre Andersen Andersen risk model with generalized Erlang(n)claim interarrival times.By considering a class of delayed renewal risk processes,in which the distributions of the first inter-claim times are Erlang(k),(k=1,2,…,n) distributions,we derive integro-differential equationsforand ψ.On the other hand,exponential type upper bounds for the ultimate ruin probability are given by martingale and recursive techniques,respectively.

About this research paper

What this paper is about

In this paper we consider a Sparre Andersen Andersen risk model with generalized Erlang(n)claim interarrival times.By considering a class of delayed renewal risk processes,in which the distributions of the first inter-claim times are Erlang(k),(k=1,2,…,n) distributions,we derive integro-differential equationsforand ψ.On the other hand,exponential type upper bounds for the ultimate ruin probability are given by martingale and recursive techniques,respectively.

Why it matters

A significance statement is not available in the OpenAlex record.

Key contribution

A contribution statement is not available in the OpenAlex record.

Method / approach

Method details are not available in the OpenAlex metadata.

Main findings

Findings are not separately available in the OpenAlex metadata.

Limitations

Limitations are not available in the OpenAlex metadata.

Applications

Application details are not available in the OpenAlex metadata.

Available abstract

In this paper we consider a Sparre Andersen Andersen risk model with generalized Erlang(n)claim interarrival times.By considering a class of delayed renewal risk processes,in which the distributions of the first inter-claim times are Erlang(k),(k=1,2,…,n) distributions,we derive integro-differential equationsforand ψ.On the other hand,exponential type upper bounds for the ultimate ruin probability are given by martingale and recursive techniques,respectively.

Key concepts: Erlang (programming language), Risk model, Erlang distribution, Mathematics, Martingale (probability theory), Ruin theory, Exponential function, Applied mathematics

Related papers

Related paper 1Related paper 2Related paper 3
Back to paper searchBrowse research topicsOriginal source
On ruin for the generalized Erlang(n) risk model with constant interest force — Research Paper | ScholarLens