Ruin probability for correlated negative risk sums model with Erlang processes

被引：0
|
作者：
Dong Ying-hui [1 ,2 ]
机构：
[1] Suzhou Technol Univ, Dept Math, Suzhou 215011, Peoples R China
[2] Suzhou Univ, Dept Math, Suzhou 215006, Peoples R China
来源：
APPLIED MATHEMATICS-A JOURNAL OF CHINESE UNIVERSITIES SERIES B | 2009年 / 24卷 / 01期
关键词：
ruin probability; Erlang process; correlated negative risk sums process equation; AGGREGATE CLAIMS;
D O I：
10.1007/s11766-009-1728-9
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
This paper studies a Sparre Andersen negative risk sums model in which the distribution of "interclaim" time is that of a sum of n independent exponential random variables. Thus, the Erlang(n) model is a special case. On this basis the correlated negative risk sums process with the common Erlang process is considered. Integro-differential equations with boundary conditions for I(u) are given. For some special cases a closed-form expression for I(u) is derived.
引用
收藏
页码：14 / 20
页数：7
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