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

Notas: Sumario: In this paper, we investigate an Erlang risk model wherein the premium rate and claim size distribution are dynamically adjusted based on the inter-arrival time and an independent random time window. The ruin probabilities within this model adhere to a system of fractional integro-differential equations. For a specific class of claim size distributions, this system can be further transformed into a fractional differential equation system. We provide explicit solutions for these fractional boundary problems and illustrate our findings with several numerical examplesRegistros relacionados: En: European Actuarial Journal. - Cham, Switzerland : Springer Nature Switzerland AG, 2021-2022. - 15/12/2025 Volume 15 Issue 3 - December 2025 , 27 p.Materia / lugar / evento: Probabilidad de ruina Dependencia Cálculo actuarial Tarificación Prima de riesgo Otras clasificaciones: 6

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