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13.334 Articles in journals published by the UPC
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On the probability of reaching a barrier in an Erlang(2) risk process

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Claramunt Bielsa, M. Mercè
Mármol, M. Teresa
Lacayo, Ramón A.
Document typeArticle
Defense date2005
PublisherInstitut d'Estadística de Catalunya
Rights accessOpen Access
Attribution-NonCommercial-NoDerivs 2.5 Spain
Except where otherwise noted, content on this work is licensed under a Creative Commons license : Attribution-NonCommercial-NoDerivs 2.5 Spain
Abstract
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).
CitationClaramunt Bielsa, M. Mercè; Mármol, M. Teresa; Lacayo, Ramón A.. "On the probability of reaching a barrier in an Erlang(2) risk process". SORT, 2005, Vol. 29, núm. 2 
URIhttp://hdl.handle.net/2099/3764
ISSN1696-2281
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  • SORT (Statistics and Operations Research Transactions) - 2005, Vol. 29, Núm. 2 [8]
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