ZHAO Xianghua, YIN Chuancun. Ruin Problems for a Sparre Andersen Risk Model[J]. Chinese Journal of Applied Probability and Statistics, 2005, 21(4): 431-442.
Citation: ZHAO Xianghua, YIN Chuancun. Ruin Problems for a Sparre Andersen Risk Model[J]. Chinese Journal of Applied Probability and Statistics, 2005, 21(4): 431-442.

Ruin Problems for a Sparre Andersen Risk Model

  • In this paper, we consider a Sparre Andersen risk model in which the claim inter-arrival distribution is a mixture of an exponential distribution and an Erlang(n) distribution. We discuss the exact and the asymptotic behavior of the ruin probability under this risk model as the initial capital u tends to infinity.
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