explicitexpressionsfortheruinprobabilitiesoferlangriskprocesseswithparetoindividualclaimdistributions

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	explicitexpressionsfortheruinprobabilitiesoferlangriskprocesseswithparetoindividualclaimdistributions
	Wei Li1 ; Yang Hailiang 2
	2004
发表期刊	actamathematicaeapplicataesinica
ISSN	0168-9673
卷号	020 期号:003 页码:495
摘要	In this paper we first consider a risk process in which claim inter-arrival times and the time until the first claim have an Erlang (2) distribution. An explicit solution is derived for the probability of ultimate ruin, given an initial reserve of u when the claim size follows a Pareto distribution. Follow Ramsay, Laplace transforms and exponential integrals are used to derive the solution, which involves a single integral of real valued functions along the positive real line, and the integrand is not of an oscillating kind. Then we show that the ultimate ruin probability can be expressed as the sum of expected values of functions of two different Gamma random variables. Finally, the results are extended to the Erlang(n) case. Numerical examples are given to illustrate the main results.
语种	英语
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/44155
专题	系统科学研究所
作者单位	1.中国科学院数学与系统科学研究院 2.香港大学
推荐引用方式 GB/T 7714	Wei Li,Yang Hailiang. explicitexpressionsfortheruinprobabilitiesoferlangriskprocesseswithparetoindividualclaimdistributions[J]. actamathematicaeapplicataesinica,2004,020(003):495.
APA	Wei Li,&Yang Hailiang.(2004).explicitexpressionsfortheruinprobabilitiesoferlangriskprocesseswithparetoindividualclaimdistributions.actamathematicaeapplicataesinica,020(003),495.
MLA	Wei Li,et al."explicitexpressionsfortheruinprobabilitiesoferlangriskprocesseswithparetoindividualclaimdistributions".actamathematicaeapplicataesinica 020.003(2004):495.