On the moments of ruin and recovery times (Q5938034): Difference between revisions

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.