A remark on the moments of ruin time in classical risk theory

DOI10.1016/0167-6687(90)90023-7MaRDI QIDQ809532zbMATHOpenAlexFDO

Authors Freddy Delbaen

Publication date 1990

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

Full work available at URL https://doi.org/10.1016/0167-6687(90)90023-7

zbMATH Keywords

law of large numberscompound Poisson processclassical risk process\((p+1)th\) moment of the claim sizefractional derivatives in Laplace transformsp th moment of the ruin time

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05)

Recommendations

• Lundberg-type bounds and asymptotics for the moments of the time to ruin
• On the moments of ruin and recovery times
• On the Moments of the Time of Ruin with Applications to Phase-Type Claims
• The moments of ruin time in the classical risk model with discrete claim size distribution
• Approximations for the moments of ruin time in the compound Poisson model

Cites work

• scientific article; zbMATH DE number 4032883 (Why is no real title available?)
• scientific article; zbMATH DE number 3312403 (Why is no real title available?)
• A Combinatorial Lemma and Its Application to Probability Theory
• Complete Convergence and the Law of Large Numbers
• Inversed martingales in risk theory
• Martingales in Markov processes applied to risk theory
• On a Theorem of Hsu and Robbins
• Remark on my Paper "On a Theorem of Hsu and Robbins"
• The Probability in the Tail of a Distribution

Cited in

(17)

• The moments of ruin time in the classical risk model with discrete claim size distribution
• Symbolic calculation of the moments of the time of ruin.
• On the moments of iterated tail
• Localization of the spectrum and representation of solutions of linear dynamical systems
• On ruin for the Erlang \((n)\) risk process
• Asymptotics for the moments of the time to ruin for the compound Poisson model perturbed by diffusion
• Affine storage and insurance risk models
• Approximations for the moments of ruin time in the compound Poisson model
• Analysis of a defective renewal equation arising in ruin theory
• Approximating the density of the time to ruin via Fourier-cosine series expansion
• A limit theorem for the time of ruin in a Gaussian ruin problem
• A cyclic approach on classical ruin model
• On the moments of ruin and recovery times
• On first and last ruin times of Gaussian processes
• On moments of downward passage times for spectrally negative Lévy processes
• The moments of the time of ruin, the surplus before ruin, and the deficit at ruin
• Moments of the time to ruin in the stationary renewal risk process

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