1998•Research at the University of Copenhagen (University of Copenhagen)Requires access
On a class of renewal risk processes
Dcm Dickson
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Abstract
In this paper I show how methods that have been applied to derive results for the classical risk process can be adapted to derive results for a class of risk processes in which claims occur as a renewal process. In particular, claims occur as an Erlang process. I consider the problem of finding the survival probability for such risk processes and then derive expressions for the probability and severity of ruin and for the probability of absorption by an upper barrier. Finally, I apply these results to consider the problem of finding the distribution of the maximum deficit during the period from ruin to recovery to surplus level 0.