On the moments of the time to ruin in dependent Sparre Andersen models with emphasis on Coxian interclaim times

被引：6
|
作者：
Lee, Wing Yan [1 ]
Willmot, Gordon E. [1 ]
机构：
[1] Univ Waterloo, Dept Stat & Actuarial Sci, Waterloo, ON N2L 3G1, Canada
来源：
INSURANCE MATHEMATICS & ECONOMICS | 2014年 / 59卷
基金：
加拿大自然科学与工程研究理事会;
关键词：
Time to ruin; Moment; Defective renewal equation; Laplace transform; Coxian interclaim time; GERBER-SHIU FUNCTION; RISK PROCESSES; GENERAL-CLASS; SURPLUS;
D O I：
10.1016/j.insmatheco.2014.08.003
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
The structural properties of the moments of the time to ruin are studied in dependent Sparre Andersen models. The moments of the time to ruin may be viewed as generalized versions of the Gerber-Shiu function. It is shown that structural properties of the Gerber-Shiu function hold also for the moments of the time to ruin. In particular, the moments continue to satisfy defective renewal equations. These properties are discussed in detail in the model of Willmot and Woo (2012), which has Coxian interclaim times and arbitrary time-dependent claim sizes. Structural quantities needed to determine the moments of the time to ruin are specified under this model. Numerical examples illustrating the methodology are presented. (C) 2014 Elsevier B.V. All rights reserved.
引用
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页码：1 / 10
页数：10
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