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

Susan M. Pitts and Konstadinos Politis

Insurance: Mathematics and Economics, 2008, vol. 42, issue 2, 668-679

Abstract: In the classical risk model with Poisson arrivals, we study a functional approach which can be used to obtain new approximation formulae for the moments of the time to ruin. We explain how establishing differentiability of a functional, in appropriate function spaces, may lead to approximations for these moments. We consider various choices for the function spaces, which are suitable both for heavy-tailed and light-tailed claim-size distributions. The results are illustrated by some particular examples.

Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167-6687(07)00083-2
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:42:y:2008:i:2:p:668-679

Access Statistics for this article

Insurance: Mathematics and Economics is currently edited by R. Kaas, Hansjoerg Albrecher, M. J. Goovaerts and E. S. W. Shiu

More articles in Insurance: Mathematics and Economics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().