Erlang risk models and finite time ruin problems

David Dickson and Shuanming Li

Scandinavian Actuarial Journal, 2012, vol. 2012, issue 3, 183-202

Abstract: 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.

Date: 2012
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DOI: 10.1080/03461238.2010.499261

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