Abstract
This paper studies a Sparre Andersen negative risk sums model in which the distribution of “interclaim” time is that of a sum of n independent exponential random variables. Thus, the Erlang(n) model is a special case. On this basis the correlated negative risk sums process with the common Erlang process is considered. Integro-differential equations with boundary conditions for Ψ(u) are given. For some special cases a closed-form expression for Ψ(u) is derived.
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Supported by the Foundation of Suzhou Science and Technology University
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Dong, Yh. Ruin probability for correlated negative risk sums model with Erlang processes. Appl. Math. J. Chin. Univ. 24, 14–20 (2009). https://doi.org/10.1007/s11766-009-1728-9
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DOI: https://doi.org/10.1007/s11766-009-1728-9