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

DOI10.1016/J.INSMATHECO.2007.07.006zbMATH Open1152.91597OpenAlexW2001997382MaRDI QIDQ998281FDOQ998281

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

Recommendations

• Some notes on approximations for the deficit at ruin in the compound Poisson risk model
• On the Moments of the Time of Ruin with Applications to Phase-Type Claims
• The Distribution of the time to Ruin in the Classical Risk Model
• Asymptotics for the moments of the time to ruin for the compound Poisson model perturbed by diffusion
• A Functional Approach for Ruin Probabilities

zbMATH Keywords

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

Mathematics Subject Classification ID

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• The moments of the time of ruin, the surplus before ruin, and the deficit at ruin
• 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
• 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 Functional Approach for Ruin Probabilities

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

This page was built for publication: Approximations for the moments of ruin time in the compound Poisson model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q998281)