| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5076925 | Insurance: Mathematics and Economics | 2012 | 9 Pages |
Abstract
⺠In the Sparre Andersen risk model, we find the expressions for the moments of the discounted sum of ascending ladder heights. ⺠We apply a particular Gerber-Shiu functional to derive these results. ⺠We use a moment-matching method to approximate the distribution of the discounted sum.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Hélène Cossette, David Landriault, Etienne Marceau, Khouzeima Moutanabbir,