On the Moments of the Time of Ruin with Applications to Phase-Type Claims

DOI10.1080/10920277.2005.10596195zbMath1085.62507OpenAlexW2082177947MaRDI QIDQ5716023

Gordon E. Willmot, Steve Drekic

Publication date: 6 January 2006

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2005.10596195

Mathematics Subject Classification ID

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

Related Items (8)

The moments of the time to ruin in dependent Sparre Andersen models with Coxian claim sizes ⋮ Applications of the classical compound Poisson model with claim sizes following a compound distribution ⋮ Asymptotics for the moments of the time to ruin for the compound Poisson model perturbed by diffusion ⋮ An adaptive premium policy with a Bayesian motivation in the classical risk model ⋮ Compound Markov negative binomial distribution ⋮ On the moments of the time to ruin in dependent Sparre Andersen models with emphasis on Coxian interclaim times ⋮ On the Sums of Compound Negative Binomial and Gamma Random Variables ⋮ The Moments of the Time of Ruin in Markovian Risk Models

Cites Work

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• Recursive calculation of time to ruin distributions.
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• Lundberg approximations for compound distributions with insurance applications
• On higher-order properties of compound geometric distributions
• Exponential and scale mixtures and equilibrium distributions
• Introduction to Matrix Analytic Methods in Stochastic Modeling
• 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
• Equilibrium compound distributions and stop-loss moments
• On the Time Value of Ruin

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