In this article, we consider the generalized Erlang risk model and its dual model. By using a conditional measure-preserving correspondence between the two models, we derive an identity for two interesting conditional probabilities. Applications to the discounted joint density of the surplus prior to ruin and the deficit at ruin are also discussed.

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surplus generalized erlang risk model conditional measurepreserving correspondence discounted joint density of deficit

Chunsheng Zhang,.A Duality Result for the Generalized Erlang Risk Model. 2 (4),.

Chunsheng Zhang,"A Duality Result for the Generalized Erlang Risk Model" 2

Chunsheng Zhang,"A Duality Result for the Generalized Erlang Risk Model"