The moments of the time of ruin, the surplus before ruin, and the deficit at ruin (Q1584582)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The moments of the time of ruin, the surplus before ruin, and the deficit at ruin |
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The moments of the time of ruin, the surplus before ruin, and the deficit at ruin (English)
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26 October 2001
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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.
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surplus process
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time of ruin
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ruin probability
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deficit at ruin
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compound geometric
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renewal equation
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