an:06238152
Zbl 1277.91081
Dickson, David C. M.; Li, Shuanming
Erlang risk models and finite time ruin problems
EN
Scand. Actuar. J. 2012, No. 3, 183-202 (2012).
00319440
2012
j
91B30 60K10
Erlang risk models; time of ruin; deficit at ruin; joint distribution
Summary: We consider the joint density of the time of ruin and deficit at ruin in the Erlang(\(n\)) risk model. We give a general formula for this joint density and illustrate how the components of this formula can be found in the special case when \(n=2\). We then show how the formula can be implemented numerically for a general value of \(n\). We also discuss how the ideas extend to the generalised Erlang(\(n\)) risk model.