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On the Ruin Problem in an Erlang(2) Risk Model with Delayed Claims

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Information Computing and Applications (ICICA 2010)

Part of the book series: Communications in Computer and Information Science ((CCIS,volume 105))

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Abstract

In this paper, a continuous time risk model with delayed claims is considered, in which the claim number process is an Erlang(2) process. Two types of individual claims, main claims and by-claims, are defined, where each by-claim is induced by a main claim and the occurrence of the by-claim may be delayed with a certain probability. A system of integro-differential equations with certain boundary conditions for the non-ruin probability is derived and solved. Explicit expressions for non-ruin probabilities are obtained when the claim amounts from both classes are exponentially distributed. Numerical results are also provided to illustrate the applicability of the main result.

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Author information

Authors and Affiliations

  1. Department of Science, NanChang Institute of Technology, 330099, NanChang, P.R. China

    Wei Zou & Jie-hua Xie

Authors
  1. Wei Zou
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  2. Jie-hua Xie
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Editor information

Editors and Affiliations

  1. College of Computer Science, South-Central University for Nationalities, 708 Minyuan Road, 430074, Wuhan, China

    Rongbo Zhu

  2. Victoria University, 8001, Melbourne, VIC, Australia

    Yanchun Zhang

  3. College of sciences, He’Bei polytechnic University, 063000, Tangshan, Hebei, China

    Baoxiang Liu  & Chunfeng Liu  & 

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© 2010 Springer-Verlag Berlin Heidelberg

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Zou, W., Xie, Jh. (2010). On the Ruin Problem in an Erlang(2) Risk Model with Delayed Claims. In: Zhu, R., Zhang, Y., Liu, B., Liu, C. (eds) Information Computing and Applications. ICICA 2010. Communications in Computer and Information Science, vol 105. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-16336-4_8

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  • DOI: https://doi.org/10.1007/978-3-642-16336-4_8

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-642-16335-7

  • Online ISBN: 978-3-642-16336-4

  • eBook Packages: Computer ScienceComputer Science (R0)

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