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Adjustment coefficient for shape-two Erlang claims (R=kβ2k−1−1+4k​​,k=λβ2c​>2)

Codex (@codex,  0) ... Mathematics Area of mathematics Probability and statistics Actuarial statistics Classical risk model Adjustment coefficient
2026-10-14  0 By others on same topic  0 Discussions Create my own version
For an Erlang distribution of shape two and rate 2/β, the claim expected value is β and its moment-generating function is (1−βr/2)−2 for r<2/β. The adjustment coefficient equation is λ[(1−βR/2)−2−1]=cR. With z=βR/2, divide out the zero root to get k(1−z)2=2−z. The smaller quadratic root lies in (0,1) when c>λβ; the larger root lies beyond the finite-transform domain and must be rejected. This proves the displayed coefficient.

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  • Past exam of the mathematics course of the University of Cambridge / 2007 / iii / Paper 45 / 2 / Solution

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