On the Moments of the Time of Ruin with Applications to Phase-Type Claims
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Publication:5716023
DOI10.1080/10920277.2005.10596195zbMath1085.62507MaRDI 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
62P05: Applications of statistics to actuarial sciences and financial mathematics
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Cites Work
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- 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
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