A Duality Result for the Generalized Erlang Risk Model

Lanpeng Ji and Chunsheng Zhang
Additional contact information
Lanpeng Ji: Department of Actuarial Science, University of Lausanne, Bâtiment Extranef, UNIL-Dorigny, 1015 Lausanne, Switzerland
Chunsheng Zhang: School of Mathematical Sciences and LPMC, Nankai University, Tianjin 300071, China

Risks, 2014, vol. 2, issue 4, 1-11

Abstract: In this article, we consider the generalized Erlang risk model and its dual model. By using a conditional measure-preserving correspondence between the two models, we derive an identity for two interesting conditional probabilities. Applications to the discounted joint density of the surplus prior to ruin and the deficit at ruin are also discussed.

Keywords: generalized Erlang risk model; duality; conditional measure-preservation; the Lundberg fundamental equation; joint density; surplus prior to ruin; deficit at ruin (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 K2 M2 M4 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://www.mdpi.com/2227-9091/2/4/456/pdf (application/pdf)
https://www.mdpi.com/2227-9091/2/4/456/ (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:gam:jrisks:v:2:y:2014:i:4:p:456-466:d:42060

Access Statistics for this article

Risks is currently edited by Mr. Claude Zhang

More articles in Risks from MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().