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

页码：14 / 20

页数：7

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