Risk modelling with the mixed Erlang distribution

Gordon E. Willmot and X. Sheldon Lin

Applied Stochastic Models in Business and Industry, 2011, vol. 27, issue 1, 2-16

Abstract: A review of analytical and computational properties of the mixed Erlang distribution is given in the context of risk analysis. Basic distributional properties are discussed, and examples of members of the class are provided. Its use in aggregate claims, stop‐loss analysis, and risk measures is considered, as are applications in ruin theoretic analysis of the surplus process. Statistical estimation of model parameters is then discussed. Copyright © 2010 John Wiley & Sons, Ltd.

Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:wly:apsmbi:v:27:y:2011:i:1:p:2-16

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