IDEAS home Printed from https://ideas.repec.org/a/eee/insuma/v23y1998i2p157-172.html
   My bibliography  Save this article

The moments of ruin time in the classical risk model with discrete claim size distribution

Author

Listed:
  • Picard, Philippe
  • Lefevre, Claude

Abstract

No abstract is available for this item.

Suggested Citation

  • Picard, Philippe & Lefevre, Claude, 1998. "The moments of ruin time in the classical risk model with discrete claim size distribution," Insurance: Mathematics and Economics, Elsevier, vol. 23(2), pages 157-172, November.
    • Handle: RePEc:eee:insuma:v:23:y:1998:i:2:p:157-172
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167-6687(98)00025-0
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Picard, Philippe & Lefevre, Claude, 1994. "On the first crossing of the surplus process with a given upper barrier," Insurance: Mathematics and Economics, Elsevier, vol. 14(2), pages 163-179, May.
    2. Delbaen, Freddy, 1990. "A remark on the moments of ruin time in classical risk theory," Insurance: Mathematics and Economics, Elsevier, vol. 9(2-3), pages 121-126, September.
    3. Delbaen, F. & Haezendonck, J., 1986. "Martingales in Markov processes applied to risk theory," Insurance: Mathematics and Economics, Elsevier, vol. 5(3), pages 201-215, July.
    4. Gerber, Hans U., 1990. "When does the surplus reach a given target?," Insurance: Mathematics and Economics, Elsevier, vol. 9(2-3), pages 115-119, September.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Rulliere, Didier & Loisel, Stephane, 2004. "Another look at the Picard-Lefevre formula for finite-time ruin probabilities," Insurance: Mathematics and Economics, Elsevier, vol. 35(2), pages 187-203, October.
    2. Loisel, Stéphane & Mazza, Christian & Rullière, Didier, 2008. "Robustness analysis and convergence of empirical finite-time ruin probabilities and estimation risk solvency margin," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 746-762, April.
    3. Loisel, Stéphane & Mazza, Christian & Rullière, Didier, 2009. "Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes," Insurance: Mathematics and Economics, Elsevier, vol. 45(3), pages 374-381, December.
    4. Lin, X. Sheldon & Willmot, Gordon E., 1999. "Analysis of a defective renewal equation arising in ruin theory," Insurance: Mathematics and Economics, Elsevier, vol. 25(1), pages 63-84, September.
    5. Vaios Dermitzakis & Konstadinos Politis, 2011. "Asymptotics for the Moments of the Time to Ruin for the Compound Poisson Model Perturbed by Diffusion," Methodology and Computing in Applied Probability, Springer, vol. 13(4), pages 749-761, December.
    6. Philipp Lukas Strietzel & Anita Behme, 2022. "Moments of the Ruin Time in a Lévy Risk Model," Methodology and Computing in Applied Probability, Springer, vol. 24(4), pages 3075-3099, December.
    7. Li, Shuanming & Garrido, José, 2002. "On the time value of ruin in the discrete time risk model," DEE - Working Papers. Business Economics. WB wb021812, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
    8. Lin, X. Sheldon & Willmot, Gordon E., 2000. "The moments of the time of ruin, the surplus before ruin, and the deficit at ruin," Insurance: Mathematics and Economics, Elsevier, vol. 27(1), pages 19-44, August.
    9. Tsai, Cary Chi-Liang & Willmot, Gordon E., 2002. "On the moments of the surplus process perturbed by diffusion," Insurance: Mathematics and Economics, Elsevier, vol. 31(3), pages 327-350, December.
    10. Cheng, Shixue & Gerber, Hans U. & Shiu, Elias S. W., 2000. "Discounted probabilities and ruin theory in the compound binomial model," Insurance: Mathematics and Economics, Elsevier, vol. 26(2-3), pages 239-250, May.
    11. Denuit, Michel, 2000. "Time stochastic s-convexity of claim processes," Insurance: Mathematics and Economics, Elsevier, vol. 26(2-3), pages 203-211, May.
    12. F. Avram & P. Patie & J. Wang, 2019. "Purely Excessive Functions and Hitting Times of Continuous-Time Branching Processes," Methodology and Computing in Applied Probability, Springer, vol. 21(2), pages 391-399, June.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Wang, Nan & Politis, Konstadinos, 2002. "Some characteristics of a surplus process in the presence of an upper barrier," Insurance: Mathematics and Economics, Elsevier, vol. 30(2), pages 231-241, April.
    2. Min Song & Rong Wu & Xin Zhang, 2008. "Total duration of negative surplus for the dual model," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 24(6), pages 591-600, November.
    3. Hüsler, Jürg & Zhang, Yueming, 2008. "On first and last ruin times of Gaussian processes," Statistics & Probability Letters, Elsevier, vol. 78(10), pages 1230-1235, August.
    4. Cheung, Eric C.K. & Wong, Jeff T.Y., 2017. "On the dual risk model with Parisian implementation delays in dividend payments," European Journal of Operational Research, Elsevier, vol. 257(1), pages 159-173.
    5. Dassios, Angelos & Wu, Shanle, 2008. "Parisian ruin with exponential claims," LSE Research Online Documents on Economics 32033, London School of Economics and Political Science, LSE Library.
    6. Li, Shuanming & Garrido, José, 2002. "On the time value of ruin in the discrete time risk model," DEE - Working Papers. Business Economics. WB wb021812, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
    7. Lin, X. Sheldon & Willmot, Gordon E., 2000. "The moments of the time of ruin, the surplus before ruin, and the deficit at ruin," Insurance: Mathematics and Economics, Elsevier, vol. 27(1), pages 19-44, August.
    8. He, Jingmin & Wu, Rong & Zhang, Huayue, 2009. "Total duration of negative surplus for the risk model with debit interest," Statistics & Probability Letters, Elsevier, vol. 79(10), pages 1320-1326, May.
    9. Vaios Dermitzakis & Konstadinos Politis, 2011. "Asymptotics for the Moments of the Time to Ruin for the Compound Poisson Model Perturbed by Diffusion," Methodology and Computing in Applied Probability, Springer, vol. 13(4), pages 749-761, December.
    10. Landriault, David & Shi, Tianxiang, 2015. "Occupation times in the MAP risk model," Insurance: Mathematics and Economics, Elsevier, vol. 60(C), pages 75-82.
    11. Chunhao Cai & Bo Li, 2018. "Occupation Times of Intervals Until Last Passage Times for Spectrally Negative Lévy Processes," Journal of Theoretical Probability, Springer, vol. 31(4), pages 2194-2215, December.
    12. Gerber, Hans U. & Shiu, Elias S. W., 1997. "The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin," Insurance: Mathematics and Economics, Elsevier, vol. 21(2), pages 129-137, November.
    13. Mousa, A.S. & Pinheiro, D. & Pinto, A.A., 2016. "Optimal life-insurance selection and purchase within a market of several life-insurance providers," Insurance: Mathematics and Economics, Elsevier, vol. 67(C), pages 133-141.
    14. Dickson, David C. M. & Egidio dos Reis, Alfredo D., 1997. "The effect of interest on negative surplus," Insurance: Mathematics and Economics, Elsevier, vol. 21(1), pages 1-16, October.
    15. Wenyuan Wang & Xiaowen Zhou, 2021. "A Drawdown Reflected Spectrally Negative Lévy Process," Journal of Theoretical Probability, Springer, vol. 34(1), pages 283-306, March.
    16. Drekic, Steve & Stafford, James E. & Willmot, Gordon E., 2004. "Symbolic calculation of the moments of the time of ruin," Insurance: Mathematics and Economics, Elsevier, vol. 34(1), pages 109-120, February.
    17. Yitao Yang & Jingmin He & Zhongqin Gao & Bingbing Wang, 2017. "Exit times for the diffusion risk model with debit interest," International Journal of System Assurance Engineering and Management, Springer;The Society for Reliability, Engineering Quality and Operations Management (SREQOM),India, and Division of Operation and Maintenance, Lulea University of Technology, Sweden, vol. 8(2), pages 1810-1815, November.
    18. Baurdoux, Erik J. & Pedraza, José M., 2024. "Lp optimal prediction of the last zero of a spectrally negative Lévy process," LSE Research Online Documents on Economics 119468, London School of Economics and Political Science, LSE Library.
    19. Wong, Jeff T.Y. & Cheung, Eric C.K., 2015. "On the time value of Parisian ruin in (dual) renewal risk processes with exponential jumps," Insurance: Mathematics and Economics, Elsevier, vol. 65(C), pages 280-290.
    20. Zhou, Xiaowen, 2004. "When does surplus reach a certain level before ruin?," Insurance: Mathematics and Economics, Elsevier, vol. 35(3), pages 553-561, December.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:insuma:v:23:y:1998:i:2:p:157-172. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/505554 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.