The Maximum Surplus before Ruin in an Erlang (2) Risk Process under Interest Force

摘要

In this paper, we consider a class of actuarial risk models when the waiting time have an Erlang (2) distribution, the distribution same as Gamma (2). The classical model in which the waiting time are exponential, and gives more flexibility in the model of a risk business. By using the techniques of Sundt and Teugels (1995), the integral-differential equation of the maximum surplus before ruin with certain boundary conditions have been obtained. This work is the continuation and supplement of the important corresponding work of Li and Dickson (2006).