The moments of the time of ruin, the surplus before ruin, and the deficit at ruin
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.
scientific article; zbMATH DE number 1525237