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

被引：7

作者：

Pitts, Susan M. ^{[2
]}

Politis, Konstadinos ^{[1
]}

机构：

[1] Univ Piraeus, Dept Stat & Insurance Sci, Piraeus 18534, Greece

[2] Univ Cambridge, Stat Lab, CMS, Cambridge CB3 0WB, England

来源：

INSURANCE MATHEMATICS & ECONOMICS | 2008年 / 42卷 / 02期

关键词：

compound Poisson model; probability of ruin; time of ruin; moments of the time to ruin; Frechet differentiability;

D O I：

10.1016/j.insmatheco.2007.07.006

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

In the classical risk model with Poisson arrivals, we study a functional approach which can be used to obtain new approximation formulae for the moments of the time to ruin. We explain how establishing differentiability of a functional, in appropriate function spaces, may lead to approximations for these moments. We consider various choices for the function spaces, which are suitable both for heavy-tailed and light-tailed claim-size distributions. The results are illustrated by some particular examples. (c) 2007 Elsevier B.V. All rights reserved.

引用

页码：668 / 679

页数：12

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