Approximations for the moments of ruin time in the compound Poisson model

DOI10.1016/j.insmatheco.2007.07.006zbMath1152.91597OpenAlexW2001997382MaRDI QIDQ998281

Susan M. Pitts, Konstadinos Politis

Publication date: 28 January 2009

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2007.07.006

zbMATH Keywords

Fréchet differentiabilitycompound Poisson modeltime of ruinprobability of ruinmoments of the time to ruin

Mathematics Subject Classification ID

Related Items (6)

APPROXIMATING THE DENSITY OF THE TIME TO RUIN VIA FOURIER-COSINE SERIES EXPANSION ⋮ 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 insurance risk model with stochastic volatility ⋮ On the moments of the time to ruin in dependent Sparre Andersen models with emphasis on Coxian interclaim times ⋮ Sharp approximations of ruin probabilities in the discrete time models

Cites Work

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• A functional approach to approximations for the observed open times in single ion channel models
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• Approximations for solutions of renewal-type equations
• Approximations for the Gerber-Shiu expected discounted penalty function in the compound poisson risk model
• Stochastic models as functionals: some remarks on the renewal case
• A Functional Approach for Ruin Probabilities
• A Functional Approach to Approximations for the Individual Risk Model

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