Centro de Documentacion de Fundación MAPFRE - Ruin probabilities in an erlang risk model with dependence structure based on an independent gamma-distributed time window

Notes: Sumario: The document presents an Erlang-type actuarial risk model in which both the premium rate and the claim size distribution depend on a gamma-distributed random time window. It derives the fractional equations governing ruin probabilities and provides explicit solutions for certain classes of distributions, illustrated with numerical examples. The study proposes a more flexible and realistic approach to capturing the relationship between claim frequency and severity, offering analytical tools that enhance risk theory and actuarial managementRelated records: En: European Actuarial Journal. - Cham, Switzerland : Springer Nature Switzerland AG, 2021-2022. - 11/08/2025 Volume 15 - Number 2 - August 2025 , p. 921 - 947Materia / lugar / evento: Teoría del riesgo Probabilidad de ruina Modelos actuariales Dependencia Ecuaciones diferenciales Modelización Cálculo actuarial Otros autores: Springer Nature
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