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On the joint distributions of surplus immediately before ruin and the deficit at ruin for Erlang(2) risk processes. (English) Zbl 1054.60017

Summary: We present some results for the joint distributions of the surplus immediately before and after ruin under a risk process in which the claim inter-arrival distribution is an Erlang(2) distribution.

MSC:

60E05 Probability distributions: general theory
91B30 Risk theory, insurance (MSC2010)
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References:

[1] Cheng, Y.; Tang, Q., Moments of the surplus before ruin and the deficit at ruin in the Erlang(2) risk process, North American actuarial journal, 7, 1-12, (2003) · Zbl 1084.60544
[2] Dickson, D.C.M.; Hipp, C., Ruin probabilities for Erlang(2) risk process, Insurance: mathematics and economics, 22, 251-262, (1998) · Zbl 0907.90097
[3] Dickson, D.C.M., On a class of renewal risk processes, North American actuarial journal, 2, 3, 101-112, (1998)
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