Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5076589 | Insurance: Mathematics and Economics | 2014 | 10 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Wing Yan Lee, Gordon E. Willmot,