- Economics - Research Publications
Economics - Research Publications
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ItemThe density of the time to ruin for a Sparre Andersen process with Erlang arrivals and exponential claimsDickson, 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.
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ItemUpper bounds for ultimate ruin probabilities in the Sparre Andersen model with interestCAI, J ; DICKSON, DCM ( 2003)