A Note On The Erlang(λ, n) Risk Process
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چکیده
We consider the Erlang(λ, n) risk process with i.i.d. exponentially distributed claims severities. We prove that the ruin probability is a strictly decreasing function in n if we keep the expected interarrival times between two successive claims constant. In the limit case we obtain Lundberg’s fundamental equation in the discrete time risk model (ladder heights of random walks).
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تاریخ انتشار 2009