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On the Density and Moments of the Time of Ruin with Exponential Claims

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  • Drekic, Steve
  • Willmot, Gordon E.

Abstract

The probability density function of the time of ruin in the classical model with exponential claim sizes is obtained directly by inversion of the associated Laplace transform. This result is then used to obtain explicit closed-form expressions for the moments. The form of the density is examined for various parameter choices.

Suggested Citation

  • Drekic, Steve & Willmot, Gordon E., 2003. "On the Density and Moments of the Time of Ruin with Exponential Claims," ASTIN Bulletin, Cambridge University Press, vol. 33(1), pages 11-21, May.
    • Handle: RePEc:cup:astinb:v:33:y:2003:i:01:p:11-21_01
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    Citations

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    Cited by:

    1. 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.
    2. Malinovskii, Vsevolod K., 2008. "Adaptive control strategies and dependence of finite time ruin on the premium loading," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 81-94, February.
    3. Dickson, David C.M. & Li, Shuanming, 2010. "Finite time ruin problems for the Erlang(2) risk model," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 12-18, February.
    4. Borovkov, Konstantin A. & Dickson, David C.M., 2008. "On the ruin time distribution for a Sparre Andersen process with exponential claim sizes," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 1104-1108, June.
    5. 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.
    6. Maite Teresa Marmol Jimenez & M. Mercedes Claramunt Bielsa, 2006. "Time of ruin in a risk model with generalized Erlang (n) interclaim times and a constant dividend barrier," Working Papers in Economics 157, Universitat de Barcelona. Espai de Recerca en Economia.
    7. Landriault, David & Shi, Tianxiang & Willmot, Gordon E., 2011. "Joint densities involving the time to ruin in the Sparre Andersen risk model under exponential assumptions," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 371-379.
    8. 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.
    9. 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.
    10. Bihao Su & Chenglong Xu & Jingchao Li, 2022. "A Deep Neural Network Approach to Solving for Seal’s Type Partial Integro-Differential Equation," Mathematics, MDPI, vol. 10(9), pages 1-21, May.

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