We use probabilistic arguments to derive an expression for the joint density of the time of ruin and the number of claims until ruin in the classical risk model. From this we obtain a general expression for the probability function of the number of claims until ruin. We also consider the moments...

In this paper the analysis of the collective risk model assuming Erlang loss, when the claim frequency follows the discrete generalized Lindley distribu- tion, is considered. After providing some new results of this discrete model, analytical expressions for the aggregate claim size distribution...