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The moments of the time of ruin, the surplus before ruin, and the deficit at ruin

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  • Lin, X. Sheldon
  • Willmot, Gordon E.
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    File URL: http://www.sciencedirect.com/science/article/B6V8N-41068FM-2/2/1e5ec1e1be27fdb4721c14ac3dbebbe6
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    Bibliographic Info

    Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

    Volume (Year): 27 (2000)
    Issue (Month): 1 (August)
    Pages: 19-44

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    Handle: RePEc:eee:insuma:v:27:y:2000:i:1:p:19-44

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    Web page: http://www.elsevier.com/locate/inca/505554

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. 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.
    2. Willmot, Gordon E. & Sheldon Lin, X., 1998. "Exact and approximate properties of the distribution of surplus before and after ruin," Insurance: Mathematics and Economics, Elsevier, vol. 23(1), pages 91-110, October.
    3. 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.
    4. Gerber, Hans U. & Shiu, Elias S. W., 1999. "From ruin theory to pricing reset guarantees and perpetual put options," Insurance: Mathematics and Economics, Elsevier, vol. 24(1-2), pages 3-14, March.
    5. Dufresne, Francois & Gerber, Hans U., 1988. "The probability and severity of ruin for combinations of exponential claim amount distributions and their translations," Insurance: Mathematics and Economics, Elsevier, vol. 7(2), pages 75-80, April.
    6. 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.
    7. 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.
    8. 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.
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