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dc.contributor.authorClaramunt Bielsa, M. Mercè
dc.contributor.authorMármol, M. Teresa
dc.contributor.authorLacayo, Ramón A.
dc.date.accessioned2007-11-12T19:47:48Z
dc.date.available2007-11-12T19:47:48Z
dc.date.issued2005
dc.identifier.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
dc.identifier.issn1696-2281
dc.identifier.urihttp://hdl.handle.net/2099/3764
dc.description.abstractHolaIn 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).
dc.format.extent235-248
dc.language.isoeng
dc.publisherInstitut d'Estadística de Catalunya
dc.relation.ispartofSORT. 2005, Vol. 29, Núm. 2 [July-December]
dc.rightsAttribution-NonCommercial-NoDerivs 2.5 Spain
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/2.5/es/
dc.subject.otherStatistics
dc.subject.otherMathematical economics
dc.titleOn the probability of reaching a barrier in an Erlang(2) risk process
dc.typeArticle
dc.subject.lemacAplicacions (Matemàtica)
dc.subject.lemacMatemàtica financera
dc.description.peerreviewedPeer Reviewed
dc.subject.amsClassificació AMS::62 Statistics::62P Applications
dc.subject.amsClassificació AMS::91 Game theory, economics, social and behavioral sciences::91B Mathematical economics
dc.rights.accessOpen Access
local.personalitzacitaciotrue


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