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

Insurance: Mathematics and Economics

Volumn 42, Issue 2, 2008, Pages 668-679

  Pitts, Susan M ^a   Politis, Konstadinos ^b  

^a UNIVERSITY OF CAMBRIDGE   (United Kingdom)

^b UNIVERSITY OF PIRAEUS   (Greece)

Author keywords

Compound Poisson model; Fr chet differentiability; Moments of the time to ruin; Probability of ruin; Time of ruin

Indexed keywords

EID: 40949158855     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.insmatheco.2007.07.006     Document Type: Article

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