Moments of the Time of Ruin, Surplus Before Ruin and the Deficit at Ruin in the Erlang(N) Risk Process
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In this paper we consider the "penalty" function in the Erlang(n) risk model. Using the integrodifferential equation we established, we obtain the explicit expressions for the moments of Erlang(2) risk model. When the claim size distribution is Light-Tailed and the penalty function is bounded, we obtain the exact representations for the moments of Erlang(n) risk model.
KeywordsPenalty function Erlang(n) risk model integro-differential equation light-tailed distribution
2000 MR Subject Classification62p06 60j25
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