The density of the time to ruin for a Sparre Andersen process with Erlang arrivals and exponential claims
Work
Year: 2005
Type: article
Abstract: We derive expressions for the density of the time to ruin given that ruin occurs in a Sparre Andersen model in which individual claim amounts are exponentially distributed and inter-arrival times are ... more
Source: Scandinavian Actuarial Journal
Institutions The University of Melbourne, Nankai University
Cites: 17
Cited by: 36
Related to: 10
FWCI: 4.733
Citation percentile (by year/subfield): 89.96
Topic: Probability and Risk Models
Field: Decision Sciences
Domain: Social Sciences
Sustainable Development Goal Sustainable cities and communities
Open Access status: green