Further developments in the Erlang(n) risk process

DOI10.1080/03461238.2013.774112zbMath1398.91310OpenAlexW2145406432MaRDI QIDQ4576758

Alfredo D. Egídio dos Reis, Agnieszka I. Bergel

Publication date: 10 July 2018

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10400.5/9515

zbMATH Keywords

expected discounted dividends prior to ruingeneralized Lundberg's equationmaximum severity of ruinprobability of reaching an upper barrierSparre-Andersen risk modelErlang(\textit{n}) interclaim timesfundamental Lundberg's equation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items

Ruin problems in the generalized Erlang(\(n\)) risk model, Ruin and dividend measures in the renewal dual risk model, On dividends in the phase–type dual risk model

Cites Work

• On ruin for the Erlang \((n)\) risk process
• On some measures of the severity of ruin in the classical Poisson model
• The maximum surplus before ruin in an Erlang\((n)\) risk process and related problems
• On the distribution of dividend payments in a Sparre Andersen model with generalized Erlang(\(n\)) interclaim times
• Some Optimal Dividends Problems
• Analysis of the multiple roots of the Lundberg fundamental equation in the PH (n) risk model
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