On the moments of ruin and recovery times

DOI10.1016/S0167-6687(00)00056-1zbMath0988.91044OpenAlexW2062939742MaRDI QIDQ5938034

Alfredo D. Egídio dos Reis

Publication date: 22 July 2002

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

Full work available at URL: https://doi.org/10.1016/s0167-6687(00)00056-1

zbMATH Keywords

duration of negative surplusrecursive calculationstime to ruin

Mathematics Subject Classification ID

Related Items (13)

Upper bounds on the expected time to ruin and on the expected recovery time ⋮ Moments of the ruin time in a Lévy risk model ⋮ Parisian ruin in the dual model with applications to the \(G/M/1\) queue ⋮ On the area in the red of Lévy risk processes and related quantities ⋮ Asymptotics for the moments of the time to ruin for the compound Poisson model perturbed by diffusion ⋮ How many claims does it take to get ruined and recovered? ⋮ On first and last ruin times of Gaussian processes ⋮ A limit theorem for the time of ruin in a Gaussian ruin problem ⋮ On the moments of the time to ruin in dependent Sparre Andersen models with emphasis on Coxian interclaim times ⋮ Asymptotic analysis of risk quantities conditional on ruin for multidimensional heavy-tailed random walks ⋮ Exact and approximate properties of the distribution of surplus before and after ruin ⋮ Passage times for a spectrally negative Lévy process with applications to risk theory ⋮ Moments of deficit duration and its proportion in general compound binomial model

Cites Work

• When does the surplus reach a given target?
• A remark on the moments of ruin time in classical risk theory
• Practical aspects of stop-loss calculations
• Recursive calculation of finite-time ruin probabilities
• The moments of the time of ruin, the surplus before ruin, and the deficit at ruin
• How long is the surplus below zero?
• On the distribution of the duration of negative surplus
• The dilemma between dividends and safety and a generalization of the Lundberg-Cramér formulas
• Unnamed Item

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