On the moments of ruin and recovery times (Q5938034): Difference between revisions
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Revision as of 23:43, 4 March 2024
scientific article; zbMATH DE number 1621424
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the moments of ruin and recovery times |
scientific article; zbMATH DE number 1621424 |
Statements
On the moments of ruin and recovery times (English)
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22 July 2002
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The author considers recursive algorithms for the calculation of the moments of the random variables: time to ruin and the duration of the first period of negative surplus (or time to recovery). A discrete model is considered as a discrete time compound Poisson process. For the classical compund Poisson model the author considers some asymptotic formulas, as initial surplus tends to infinity, for the severity of ruin. An explicit formulae for the moments of the time to recovery is found.
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time to ruin
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duration of negative surplus
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recursive calculations
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