Adjustment coefficient for shape-two Erlang claims

ID: adjustment-coefficient-for-shape-two-erlang-claims

For an Erlang distribution of shape two and rate , the claim expected value is and its moment-generating function is for . The adjustment coefficient equation is . With , divide out the zero root to get . The smaller quadratic root lies in when ; the larger root lies beyond the finite-transform domain and must be rejected. This proves the displayed coefficient.

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