The moments of the time to ruin in dependent Sparre Andersen models with Coxian claim sizes

被引：5

作者：

Lee, Wing Yan ^{[1
]}

Willmot, Gordon E. ^{[1
]}

机构：

[1] Univ Waterloo, Dept Stat & Actuarial Sci, Waterloo, ON, Canada

来源：

SCANDINAVIAN ACTUARIAL JOURNAL | 2016年 / 06期

基金：

加拿大自然科学与工程研究理事会;

关键词：

time to ruin; moment; dependent Sparre Andersen model; Coxian claim size; RISK PROCESSES; SURPLUS;

D O I：

10.1080/03461238.2014.979227

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

A very general class of dependent Sparre Andersen models with Coxian claim sizes (e.g. Landriault et al. 2014) is considered in this paper. The moments of the time to ruin are studied under this class. An analytical form is provided for the moments, which involves solving linear systems of equations. Numerical examples are then considered to further study the properties of the mean and variance of the time to ruin.

引用

页码：550 / 564

页数：15

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