On the Moments of the Time of Ruin with Applications to Phase-Type Claims

DOI10.1080/10920277.2005.10596195zbMath1085.62507OpenAlexW2082177947MaRDI QIDQ5716023

Gordon E. Willmot, Steve Drekic

Publication date: 6 January 2006

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2005.10596195

Mathematics Subject Classification ID

Related Items (8)

The moments of the time to ruin in dependent Sparre Andersen models with Coxian claim sizes ⋮ Applications of the classical compound Poisson model with claim sizes following a compound distribution ⋮ Asymptotics for the moments of the time to ruin for the compound Poisson model perturbed by diffusion ⋮ An adaptive premium policy with a Bayesian motivation in the classical risk model ⋮ Compound Markov negative binomial distribution ⋮ On the moments of the time to ruin in dependent Sparre Andersen models with emphasis on Coxian interclaim times ⋮ On the Sums of Compound Negative Binomial and Gamma Random Variables ⋮ The Moments of the Time of Ruin in Markovian Risk Models

Cites Work

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• Exponential and scale mixtures and equilibrium distributions
• Introduction to Matrix Analytic Methods in Stochastic Modeling
• The Distribution of the time to Ruin in the Classical Risk Model
• On the Density and Moments of the Time of Ruin with Exponential Claims
• Equilibrium compound distributions and stop-loss moments
• On the Time Value of Ruin

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