Ruin probabilities for Erlang(2) risk processes

Insurance: Mathematics and Economics

Volumn 22, Issue 3, 1998, Pages 251-262

  Dickson, David C M ^b   Hipp, Christian ^a  

^a UNIVERSITY OF KARLSRUHE   (Germany)

^b NONE

Author keywords

Erlang process; Phase type distribution; Recursive calculation; Ruin probability

Indexed keywords

EID: 0032112168     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0167-6687(98)00003-1     Document Type: Article

References (9)

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4. Asmussen, S., Rolski, T., 1991. Computational methods in risk theory: A matrix-algorithmic approach. Insurance: Mathematics and Economic 10, 259-274.
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6. Dickson, D.C.M., 1998. On a class of renewal risk process, North American Actuarial Journal, to appear.
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