The expected value of the time of ruin and the moments of the discounted deficit at ruin in the perturbed classical risk process
β Scribed by Jiandong Ren
- Book ID
- 108153059
- Publisher
- Elsevier Science
- Year
- 2005
- Tongue
- English
- Weight
- 220 KB
- Volume
- 37
- Category
- Article
- ISSN
- 0167-6687
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π SIMILAR VOLUMES
We examine the joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin. The time of ruin is analyzed in terms of its Laplace transform, which can naturally be interpreted as discounting. We show that, as a function of the initial surplus, the joint densit
Firstly exact simple expressions are given for the moments Mr = Eo(Trl{T<~}) when the initial reserves are equal to zero. Then for positive initial reserves the same moments are expressed very compactly through the Mr's, and the polynomials e,~(O = eXtP(St = n), n = 0, 1 .... In both cases the resul