On the moments of the time to ruin in dependent Sparre Andersen models with emphasis on Coxian interclaim times

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<title>On the moments of the time to ruin in dependent Sparre Andersen models with emphasis on Coxian interclaim times</title>
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<namePart>Yan Lee, Wing</namePart>
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<namePart>Willmot, Gordon E.</namePart>
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<abstract displayLabel="Summary">The structural properties of the moments of the time to ruin are studied in dependent Sparre Andersen models. The moments of the time to ruin may be viewed as generalized versions of the GerberShiu function. It is shown that structural properties of the GerberShiu function hold also for the moments of the time to ruin. In particular, the moments continue to satisfy defective renewal equations. These properties are discussed in detail in the model of Willmot and Woo (2012), which has Coxian interclaim times and arbitrary time-dependent claim sizes. Structural quantities needed to determine the moments of the time to ruin are specified under this model. Numerical examples illustrating the methodology are presented.</abstract>
<note type="statement of responsibility">Wing Yan Lee,  Gordon E. Willmot</note>
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<topic>Cálculo actuarial</topic>
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<topic>Matemática del seguro</topic>
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<topic>Modelos matemáticos</topic>
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<topic>Modelos actuariales</topic>
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<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080588281">
<topic>Teoría de la ruina</topic>
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<topic>Probabilidad de ruina</topic>
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<title>Insurance : mathematics and economics</title>
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<publisher>Oxford : Elsevier, 1990-</publisher>
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<identifier type="issn">0167-6687</identifier>
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<text>03/11/2014 Volumen 59 Número 1 - noviembre 2014 , p. 1-10</text>
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