The Moments of the Time of Ruin in Markovian Risk Models

DOI10.1080/10920277.2010.10597605zbMath1219.91072MaRDI QIDQ3088979

Jiandong Ren, Kaiqi Yu, David A. Stanford

Publication date: 23 August 2011

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

Full work available at URL: https://doi.org/10.1080/10920277.2010.10597605

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

60K10: Applications of renewal theory (reliability, demand theory, etc.)

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Cites Work

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• Symbolic calculation of the moments of the time of ruin.
• The moments of the time of ruin, the surplus before ruin, and the deficit at ruin
• Introduction to Matrix Analytic Methods in Stochastic Modeling
• Erlangian Approximations for Finite-Horizon Ruin Probabilities
• On the Density and Moments of the Time of Ruin with Exponential Claims
• Risk processes analyzed as fluid queues
• On the Moments of the Time of Ruin with Applications to Phase-Type Claims