Symbolic calculation of the moments of the time of ruin.

DOI10.1016/J.INSMATHECO.2003.11.004zbMath1087.91028OpenAlexW1986867730MaRDI QIDQ1430676

James E. Stafford, Steve Drekic, Gordon E. Willmot

Publication date: 27 May 2004

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2003.11.004

zbMATH Keywords

Laplace transformPhase-type distributionsDefective renewal equationCompound geometric

Mathematics Subject Classification ID

Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04)

Related Items (8)

Single server retrial queues with setup time ⋮ Moments of the ruin time in a Lévy risk model ⋮ Asymptotics for the moments of the time to ruin for the compound Poisson model perturbed by diffusion ⋮ An algebraic operator approach to the analysis of Gerber-Shiu functions ⋮ On the Moments of the Time of Ruin with Applications to Phase-Type Claims ⋮ The compound Poisson risk model with a threshold dividend strategy ⋮ The Moments of the Time of Ruin in Markovian Risk Models ⋮ On The Expected Discounted Penalty function for Lévy Risk Processes

Uses Software

• Mathematica

Cites Work

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• A remark on the moments of ruin time in classical risk theory
• An improved finite-time ruin probability formula and its \(Mathematica\) implementation.
• The moments of the time of ruin, the surplus before ruin, and the deficit at ruin
• Lundberg approximations for compound distributions with insurance applications
• Symbolic Computation of Moments in Priority Queues
• On higher-order properties of compound geometric distributions
• Exponential and scale mixtures and equilibrium distributions
• Diffusion approximations for a risk process with the possibility of borrowing and investment
• The Distribution of the time to Ruin in the Classical Risk Model
• On the Density and Moments of the Time of Ruin with Exponential Claims

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