A remark on the moments of ruin time in classical risk theory

DOI10.1016/0167-6687(90)90023-7zbMath0733.62108OpenAlexW2018297446MaRDI QIDQ809532

Freddy Delbaen

Publication date: 1990

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

Full work available at URL: https://doi.org/10.1016/0167-6687(90)90023-7

zbMATH Keywords

law of large numbersclassical risk processcompound Poisson process\((p+1)th\) moment of the claim sizefractional derivatives in Laplace transformsp th moment of the ruin time

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05)

Related Items (13)

APPROXIMATING THE DENSITY OF THE TIME TO RUIN VIA FOURIER-COSINE SERIES EXPANSION ⋮ On moments of downward passage times for spectrally negative Lévy processes ⋮ Asymptotics for the moments of the time to ruin for the compound Poisson model perturbed by diffusion ⋮ Analysis of a defective renewal equation arising in ruin theory ⋮ Symbolic calculation of the moments of the time of ruin. ⋮ On first and last ruin times of Gaussian processes ⋮ A limit theorem for the time of ruin in a Gaussian ruin problem ⋮ On the moments of ruin and recovery times ⋮ On ruin for the Erlang \((n)\) risk process ⋮ Approximations for the moments of ruin time in the compound Poisson model ⋮ The moments of ruin time in the classical risk model with discrete claim size distribution ⋮ The moments of the time of ruin, the surplus before ruin, and the deficit at ruin ⋮ Affine Storage and Insurance Risk Models

Cites Work

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• Inversed martingales in risk theory
• Martingales in Markov processes applied to risk theory
• A Combinatorial Lemma and Its Application to Probability Theory
• The Probability in the Tail of a Distribution
• Complete Convergence and the Law of Large Numbers
• On a Theorem of Hsu and Robbins
• Remark on my Paper "On a Theorem of Hsu and Robbins"

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