On the discounted distribution functions for the Erlang(2) risk process

DOI10.1016/j.insmatheco.2004.01.005zbMath1215.62114OpenAlexW2164875428MaRDI QIDQ1888889

Cary Chi-Liang Tsai, Li-Juan Sun

Publication date: 29 November 2004

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2004.01.005

zbMATH Keywords

Erlang(2) processTime of ruinDefective renewal equationDiscounted distribution function

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Renewal theory (60K05)

Related Items (7)

On a renewal risk process with dependence under a Farlie–Gumbel–Morgenstern copula ⋮ Analysis of the Gerber-Shiu function and dividend barrier problems for a risk process with two classes of claims ⋮ The Time Value of Ruin in a Sparre Andersen Model ⋮ Lundberg-Type Bounds for the Joint Distribution of Surplus Immediately Before and at Ruin Under the Sparre Andersen Model ⋮ On a class of renewal risk models with a constant dividend barrier ⋮ On the renewal risk model under a threshold strategy ⋮ On the distribution of dividend payments in a Sparre Andersen model with generalized Erlang(\(n\)) interclaim times

Cites Work

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• “Moments of the Surplus before Ruin and the Deficit at Ruin in the Erlang(2) Risk Process,” Yebin Cheng and Qihe Tang, January 2003
• “Moments of the Surplus before Ruin and the Deficit at Ruin in the Erlang(2) Risk Process,” Yebin Cheng and Qihe Tang, January 2003
• “Moments of the Surplus before Ruin and the Deficit at Ruin in the Erlang(2) Risk Process,” Yebin Cheng and Qihe Tang, January 2003
• On the Time Value of Ruin
• On a Class of Renewal Risk Processes

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