Some ruin problems in Erlang(2) risk process

In this paper, we consider a risk process in which claim inter-arrival times have an Erlang(2) distribution. In the ordinary Erlang(2) risk process, we derive Laplace transform of survival probability from which both the survival probability from initial surplus zero and the ladder height density function can be calculated. Secondly we express the survival probability in the stationary Erlang(2) risk process in terms of the survival probability in the ordinary Erlang(2) risk process. Finally we illustrate the application of these results with a example.