Time of ruin in a risk model with generalized Erlang (n) interclaim times and a constant dividend barrier

Maite Teresa Marmol Jimenez and M. Mercedes Claramunt Bielsa
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M. Mercedes Claramunt Bielsa: Universitat de Barcelona

No 157, Working Papers in Economics from Universitat de Barcelona. Espai de Recerca en Economia

Abstract: In this paper we analyze the time of ruin in a risk process with the interclaim times being Erlang(n) distributed and a constant dividend barrier. We obtain an integro-differential equation for the Laplace Transform of the time of ruin. Explicit solutions for the moments of the time of ruin are presented when the individual claim amounts have a distribution with rational Laplace transform. Finally, some numerical results and a compare son with the classical risk model, with interclaim times following an exponential distribution, are given.

JEL-codes: G22 (search for similar items in EconPapers)
Pages: 18 pages
Date: 2006
New Economics Papers: this item is included in nep-upt
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Citations: View citations in EconPapers (1)

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