The moments of the time to ruin in dependent Sparre Andersen models with Coxian claim sizes

DOI10.1080/03461238.2014.979227zbMath1401.91161OpenAlexW2001985129MaRDI QIDQ4575365

Gordon E. Willmot, Wing Yan Lee

Publication date: 13 July 2018

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2014.979227

zbMATH Keywords

momenttime to ruinCoxian claim sizedependent Sparre Andersen model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items

APPROXIMATING THE DENSITY OF THE TIME TO RUIN VIA FOURIER-COSINE SERIES EXPANSION ⋮ Moments of the ruin time in a Lévy risk model ⋮ The Gerber-Shiu discounted penalty function: a review from practical perspectives ⋮ On the moments of the time to ruin in dependent Sparre Andersen models with emphasis on Coxian interclaim times

Cites Work

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• On the time to ruin for Erlang(2) risk processes.
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• On a Sparre Andersen risk model with time-dependent claim sizes and jump-diffusion perturbation
• On the generalized Gerber-Shiu function for surplus processes with interest
• On the analysis of a general class of dependent risk processes
• The Moments of the Time of Ruin in Markovian Risk Models
• On a Generalization of the Risk Model with Markovian Claim Arrivals
• On higher-order properties of compound geometric distributions
• A note on deficit analysis in dependency models involving Coxian claim amounts
• On the discounted aggregate claim costs until ruin in dependent Sparre Andersen risk processes
• On the Moments of the Time of Ruin with Applications to Phase-Type Claims