On the probability of reaching a barrier in an Erlang(2) risk process
HolaIn this paper the process of aggregated claims in a non-life insurance portfolio as defined in the classical model of risk theory is modified. The Compound Poisson process is replaced with a more general renewal risk process with interoccurrence times of Erlangian type. We focus our analysis on...
| Autores: | , , |
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| Tipo de recurso: | artículo |
| Fecha de publicación: | 2005 |
| País: | España |
| Institución: | Universitat Politècnica de Catalunya (UPC) |
| Repositorio: | UPCommons. Portal del coneixement obert de la UPC |
| Idioma: | inglés |
| OAI Identifier: | oai:upcommons.upc.edu:2099/3764 |
| Acceso en línea: | https://hdl.handle.net/2099/3764 |
| Access Level: | acceso abierto |
| Palabra clave: | Statistics Mathematical economics Aplicacions (Matemàtica) Matemàtica financera Classificació AMS::62 Statistics::62P Applications Classificació AMS::91 Game theory, economics, social and behavioral sciences::91B Mathematical economics |
| Sumario: | HolaIn this paper the process of aggregated claims in a non-life insurance portfolio as defined in the classical model of risk theory is modified. The Compound Poisson process is replaced with a more general renewal risk process with interoccurrence times of Erlangian type. We focus our analysis on the probability that the process of surplus reaches a certain level before ruin occurs, χ(u,b). Our main contribution is the generalization obtained in the computation of χ(u,b) for the case of interoccurrence time between claims distributed as Erlang(2, β) and the individual claim amount as Erlang (n, γ). |
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