The moments of ruin time in the classical risk model with discrete claim size distribution

DOI10.1016/S0167-6687(98)00025-0zbMath0957.62089OpenAlexW1974560982MaRDI QIDQ1277810

Philippe Picard, Claude Lefèvre

Publication date: 20 March 2001

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-6687(98)00025-0

zbMATH Keywords

ruin theoryrisk theory

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (17)

First-exit times for compound poisson processes for some types of positive and negative jumps ⋮ The expected discounted penalty at ruin in the risk process with random income ⋮ ON THE UPPER FIRST-EXIT TIMES OF COMPOUND G/M PROCESSES ⋮ Moments of the ruin time in a Lévy risk model ⋮ Asymptotics for the moments of the time to ruin for the compound Poisson model perturbed by diffusion ⋮ On the moments of the surplus process perturbed by diffusion. ⋮ Analysis of a defective renewal equation arising in ruin theory ⋮ First passage time law for some Lévy processes with compound Poisson: existence of a density ⋮ On the Probability of (Non-) Ruin in Infinite Time ⋮ Another look at the Picard--Lefèvre formula for finite-time ruin probabilities ⋮ Discrete Lundberg-type bounds with actuarial applications ⋮ The Joint Density of the Surplus Before and After Ruin in the Sparre Andersen Model ⋮ Purely excessive functions and hitting times of continuous-time branching processes ⋮ Ruin distributions and their equations ⋮ Time stochastic \(s\)-convexity of claim processes ⋮ Discounted probabilities and ruin theory in the compound binomial model ⋮ The moments of the time of ruin, the surplus before ruin, and the deficit at ruin

Cites Work

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• When does the surplus reach a given target?
• A remark on the moments of ruin time in classical risk theory
• Martingales in Markov processes applied to risk theory
• On the first crossing of the surplus process with a given upper barrier
• The numerical solution of the Schmitter problems: Theory
• On the Ruin Problem of Collective Risk Theory
• The probability of ruin in finite time with discrete claim size distribution
• Numerical Finite-Time Ruin Probabilities by the Picard-Lef vre Formula

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