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Title: On the probability of reaching a barrier in an Erlang(2) risk process.
Author: Claramunt Bielsa, M. Mercè
Mármol, Maite
Lacayo, Ramón
Keywords: Risc (Economia)
Equacions diferencials
Differential equations
Issue Date: 2005
Publisher: Institut d'Estadística de Catalunya
Abstract: In this paper the process of aggregated claims in a non-life insurance portfolio as defined in the classical model of risk theory is modified. The Compound Poisson process is replaced with a more general renewal risk process with interoccurrence times of Erlangian type. We focus our analysis on the probability that the process of surplus reaches a certain level before ruin occurs, χ(u,b). Our main contribution is the generalization obtained in the computation of χ(u,b) for the case of interoccurrence time between claims distributed as Erlang(2, β) and the individual claim amount as Erlang (n, γ).
Note: Reproducció del document publicat a:
It is part of: Sort (Statistics and Operations Research Transactions), 2005, vol. 29, num. 2, p. 235-248
ISSN: 1696-2281
Appears in Collections:Articles publicats en revistes (Matemàtica Econòmica, Financera i Actuarial)

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