an:01202774
Zbl 0907.90097
Dickson, David C. M.; Hipp, Christian
Ruin probabilities for Erlang (2) risk processes
EN
Insur. Math. Econ. 22, No. 3, 251-262 (1998).
00049991
1998
j
91B30 62P05
Erlang process; phase-type distribution; recursive calculation; risk process; infinite time survival probability; survival/ruin probability
Summary: We consider a risk process in which claim inter-arrival times have an Erlang(2) distribution. We consider the infinite time survival probability as a compound geometric random variable and give expressions from which both the survival probability from initial surplus zero and the ladder height distribution can be calculated. We consider explicit solutions for the survival ruin probability in the case where the individual claim amount distribution is phase-type, and show how the survival/ruin probability can be calculated for other individual claim amount distributions.