Erlang claim-size differential equation for survival probability (${\varphi }^{\prime \prime \prime }+(2\beta -r){\varphi }^{\prime \prime }+({\beta }^2-2r\beta ){\varphi }^{\prime }=0$)

For an Erlang distribution claim density $f(x)={\beta }^{2}x{e}^{-\beta x}$ and $r=\lambda /c$, write $H=\varphi \ast f$. The survival integro-differential equation gives ${\varphi }^{\prime }=r(\varphi -H)$. The convolution satisfies $(D+\beta {)}^{2}H={\beta }^2\varphi$, because $H={\beta }^2{e}^{-\beta u}{\int }_0^u(u-t)\varphi (t)e^{\beta t}dt$. Applying $(D+\beta {)}^2$ to the first equation eliminates $H$ and gives the displayed third-order equation. The original integral equation also supplies ${\varphi }^{\prime }(0)=r\varphi (0)$ and ${\varphi }^{\prime \prime }(0)=r^2\varphi (0)$; these conditions must not be lost when solving the higher-order equation.