A remark on the moments of ruin time in classical risk theory
DOI10.1016/0167-6687(90)90023-7zbMATH Open0733.62108OpenAlexW2018297446MaRDI QIDQ809532FDOQ809532
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
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
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
Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05)
Cites Work
- Complete Convergence and the Law of Large Numbers
- A Combinatorial Lemma and Its Application to Probability Theory
- The Probability in the Tail of a Distribution
- On a Theorem of Hsu and Robbins
- Remark on my Paper "On a Theorem of Hsu and Robbins"
- Title not available (Why is that?)
- Title not available (Why is that?)
- Inversed martingales in risk theory
- Martingales in Markov processes applied to risk theory
Cited In (15)
- Asymptotics for the moments of the time to ruin for the compound Poisson model perturbed by diffusion
- The moments of the time of ruin, the surplus before ruin, and the deficit at ruin
- On ruin for the Erlang \((n)\) risk process
- On the moments of ruin and recovery times
- Approximations for the moments of ruin time in the compound Poisson model
- 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.
- A limit theorem for the time of ruin in a Gaussian ruin problem
- On moments of downward passage times for spectrally negative Lévy processes
- Affine Storage and Insurance Risk Models
- On first and last ruin times of Gaussian processes
- Analysis of a defective renewal equation arising in ruin theory
- APPROXIMATING THE DENSITY OF THE TIME TO RUIN VIA FOURIER-COSINE SERIES EXPANSION
- Localization of the spectrum and representation of solutions of linear dynamical systems
- On the moments of iterated tail
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