Dickson, David C. M.; Hughes, Barry D.; Lianzeng, Zhang
(
2003-10)
We derive expressions for the density of the time to ruin given that ruin occurs in a Sparre Andersen model in which individual claim amounts are exponentially distributed and inter-arrival times are distributed as Erlang(n, β). We provide numerical illustrations of finite time ruin probabilities, as well as illustrating features of the density functions.