On the time to ruin for Erlang(2) risk processes

Insurance: Mathematics and Economics

Volumn 29, Issue 3, 2001, Pages 333-344

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

^a UNIVERSITY OF MELBOURNE   (Australia)

^b UNIVERSITY OF KARLSRUHE   (Germany)

Author keywords

Erlang(2); Sparre Andersen risk processes; Time to ruin

Indexed keywords

EID: 0041865386     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0167-6687(01)00091-9     Document Type: Article

References (9)

1. Dickson, D.C.M., Gray, J.R., 1984. Exact solutions for ruin probability in the presence of an absorbing upper barrier. Scandinavian Actuarial Journal, 174-186.
2. Dickson D.C.M., Hipp C. Ruin probabilities for Erlang(2) risk processes. Insurance: Mathematics and Economics. 22:1998;251-262.
3. Dickson, D.C.M., Hipp, C., 2000. Ruin problems for phase-type(2) risk processes. Scandinavian Actuarial Journal, 147-167.
4. Gerber, H.U., 1979. An Introduction to Mathematical Risk Theory. S.S. Huebner Foundation Monograph Series No. 8. Irwin, Homewood, IL.
5. Gerber H.U., Landry B. On the discounted penalty at ruin in a jump-diffusion and the perpetual put option. Insurance: Mathematics and Economics. 22:1998;263-274.
6. Gerber H.U., Shiu E.S.W. On the time value of ruin. North American Actuarial Journal. 2:1998;48-78.
7. Willmot G.E. A Laplace transform representation in a class of renewal queueing and risk processes. Journal of Applied Probability. 36:1999;570-584.
8. Willmot G.E., Lin X.S. Analysis of a defective renewal equation arising in ruin theory. Insurance: Mathematics and Economics. 25:1999;63-84.
9. Willmot G.E., Lin X.S. The moments of the time to ruin, the surplus before ruin, and the deficit at ruin. Insurance: Mathematics and Economics. 27:2000;19-44.