Approximations for the moments of ruin time in the compound Poisson model

DOI10.1016/J.INSMATHECO.2007.07.006MaRDI QIDQ998281zbMATH OpenOpenAlexFDO

Authors Susan M. Pitts, Konstadinos Politis

Publication date 28 January 2009

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

Full work available at URL https://doi.org/10.1016/j.insmatheco.2007.07.006

zbMATH Keywords

time of ruincompound Poisson modelmoments of the time to ruinprobability of ruinFréchet differentiability

Mathematics Subject Classification ID

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Cites work

• scientific article; zbMATH DE number 3137662 (Why is no real title available?)
• scientific article; zbMATH DE number 4032883 (Why is no real title available?)
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• scientific article; zbMATH DE number 3353830 (Why is no real title available?)
• A Functional Approach for Ruin Probabilities
• A Functional Approach to Approximations for the Individual Risk Model
• A functional approach to approximations for the observed open times in single ion channel models
• A remark on the moments of ruin time in classical risk theory
• Approximations for solutions of renewal-type equations
• Approximations for the Gerber-Shiu expected discounted penalty function in the compound poisson risk model
• Stochastic models as functionals: some remarks on the renewal case
• The moments of the time of ruin, the surplus before ruin, and the deficit at ruin

Cited in

(9)

• Some notes on approximations for the deficit at ruin in the compound Poisson risk model
• Approximating the density of the time to ruin via Fourier-cosine series expansion
• Asymptotics for the moments of the time to ruin for the compound Poisson model perturbed by diffusion
• On the Moments of the Time of Ruin with Applications to Phase-Type Claims
• Moments of the ruin time in a Lévy risk model
• On the moments of the time to ruin in dependent Sparre Andersen models with emphasis on Coxian interclaim times
• Sharp approximations of ruin probabilities in the discrete time models
• Monte-Carlo estimate of the probability of ruin in a compound Poisson model of risk theory
• An insurance risk model with stochastic volatility

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