Finite time ruin problems for the Erlang(2) risk model

Abstract

We consider the Erlang(2) risk model and derive expressions for the density of the time to ruin and the joint density of the time to ruin and the deficit at ruin when the individual claim amount distribution is (i) an exponential distribution and (ii) an Erlang(2) distribution. We also consider the special case when the initial surplus is zero. © 2009 Elsevier B.V. All rights reserved.