Dickson, David C.M.; Li, Shuanming - In: Insurance: Mathematics and Economics 52 (2013) 3, pp. 490-497
We study the distributions of [1] the first time that the surplus reaches a given level and [2] the duration of negative surplus in a Sparre Andersen risk process with the inter-claim times being Erlang(2) distributed. These distributions can be obtained through the inversion of Laplace...