The moments of the time to ruin in dependent Sparre Andersen models with Coxian claim sizes
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Publication:4575365
DOI10.1080/03461238.2014.979227zbMath1401.91161OpenAlexW2001985129MaRDI QIDQ4575365
Gordon E. Willmot, Wing Yan Lee
Publication date: 13 July 2018
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461238.2014.979227
Related Items
APPROXIMATING THE DENSITY OF THE TIME TO RUIN VIA FOURIER-COSINE SERIES EXPANSION ⋮ Moments of the ruin time in a Lévy risk model ⋮ The Gerber-Shiu discounted penalty function: a review from practical perspectives ⋮ On the moments of the time to ruin in dependent Sparre Andersen models with emphasis on Coxian interclaim times
Cites Work
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- On the generalized Gerber-Shiu function for surplus processes with interest
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- On a Generalization of the Risk Model with Markovian Claim Arrivals
- On higher-order properties of compound geometric distributions
- A note on deficit analysis in dependency models involving Coxian claim amounts
- On the discounted aggregate claim costs until ruin in dependent Sparre Andersen risk processes
- On the Moments of the Time of Ruin with Applications to Phase-Type Claims
