On the joint distributions of surplus immediately before ruin and the deficit at ruin for Erlang(2) risk processes

Insurance: Mathematics and Economics

Volumn 34, Issue 1, 2004, Pages 121-125

  Sun, Lijuan ^a   Yang, Hailiang ^b  

^a INSTITUTE OF STATISTICAL SCIENCE   (Taiwan)

^b UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

Erlang(2) process; Ruin probability; The joint distribution of surplus immediately before ruin and the deficit at ruin

Indexed keywords

EID: 0842325242     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.insmatheco.2003.10.001     Document Type: Article

References (6)

1. Cheng Y. Tang Q. Moments of the surplus before ruin and the deficit at ruin in the Erlang(2) risk process North American Actuarial Journal 7 2003 1-12
2. Dickson D.C.M. Hipp C. Ruin probabilities for Erlang(2) risk process Insurance: Mathematics and Economics 22 1998 251-262
3. Dickson D.C.M. On a class of renewal risk processes North American Actuarial Journal 23 1998 101-112
4. Dickson, D.C.M., Hipp, C., 2000. Ruin problems for phase-type (2) risk processes. Scandinavian Actuarial Journal 2000 (2), 147-167.
5. Dickson D.C.M. Hipp C. On the time to ruin for Erlang(2) risk processes Insurance: Mathematics and Economics 29 2001 333-344
6. 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 263-276