The moments of the time of ruin, the surplus before ruin, and the deficit at ruin
type: Item
instance of: scholarly article
title: The moments of the time of ruin, the surplus before ruin, and the deficit at ruin
zbMATH Open document ID: 0971.91031
DOI: 10.1016/S0167-6687(00)00038-X
author: X. Sheldon Lin
author: Gordon E. Willmot
published in: Insurance Mathematics \& Economics
publication date: 2001-10-26T00:00:00Z
review text: This paper studies the joint and marginal moments of the time of ruin, the surplus just before ruin, and the deficit at ruin. It expresses the moments in terms of compound geometric tails and presents recursive relations between the moments. Examples are given for individual claim random variables being exponential, combinations of exponentials, and mixtures of Erlangs.
reviewed by: E. S. W. Shiu
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 60K05
zbMATH DE Number: 1525237
zbMATH Keywords: surplus process
zbMATH Keywords: time of ruin
zbMATH Keywords: ruin probability
zbMATH Keywords: deficit at ruin
zbMATH Keywords: compound geometric
zbMATH Keywords: renewal equation
MaRDI profile type: Publication
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description: scientific article; zbMATH DE number 1525237