Economics - Research Publications

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    The density of the time to ruin for a Sparre Andersen process with Erlang arrivals and exponential claims
    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.