Moments of discounted aggregate claim costs until ruin in a Sparre Andersen risk model with general interclaim times

DOI10.1016/j.insmatheco.2013.06.003zbMath1304.91095OpenAlexW2037694550MaRDI QIDQ2513591

Eric C. K. Cheung

Publication date: 28 January 2015

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2013.06.003

zbMATH Keywords

number of claims until ruindefective renewal equationSparre Andersen risk modelhigher momentsdiscounted aggregate claims until ruindiscounted densitiesgeneral interclaim times

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Related Items (8)

On a generalized Gerber-Shiu function in a compound Poisson model perturbed by diffusion ⋮ A note on ruin problems in perturbed classical risk models ⋮ On the discounted aggregate claim costs until ruin in dependent Sparre Andersen risk processes ⋮ On the time value of Parisian ruin in (dual) renewal risk processes with exponential jumps ⋮ The Gerber-Shiu discounted penalty function: a review from practical perspectives ⋮ Joint moments of discounted claims and discounted perturbation until ruin in the compound Poisson risk model with diffusion ⋮ Discounted aggregate claim costs until ruin in the discrete-time renewal risk model ⋮ Joint moments of the total discounted gains and losses in the renewal risk model with two-sided jumps

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