Economics - Research Publications

Permanent URI for this collection

Now showing 1 - 1 of 1

The moments of the time of ruin in Sparre Andersen risk models

Dickson, DCM (CAMBRIDGE UNIV PRESS, 2023-03-01)

Abstract We derive formulae for the moments of the time of ruin in both ordinary and modified Sparre Andersen risk models without specifying either the inter-claim time distribution or the individual claim amount distribution. We illustrate the application of our results in the special case of exponentially distributed claims, as well as for the following ordinary models: the classical risk model, phase-type(2) risk models, and the Erlang( $\mathscr{n}$ ) risk model. We also show how the key quantities for modified models can be found.