The moments of the time to ruin in dependent Sparre Andersen models with Coxian claim sizes

Wing Yan Lee and Gordon E. Willmot

Scandinavian Actuarial Journal, 2016, vol. 2016, issue 6, 550-564

Abstract: A very general class of dependent Sparre Andersen models with Coxian claim sizes (e.g. Landriault et al. 2014) is considered in this paper. The moments of the time to ruin are studied under this class. An analytical form is provided for the moments, which involves solving linear systems of equations. Numerical examples are then considered to further study the properties of the mean and variance of the time to ruin.

Date: 2016
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DOI: 10.1080/03461238.2014.979227

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