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

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      <subfield code="a">On the moments of the time to ruin in dependent Sparre Andersen models with emphasis on Coxian interclaim times</subfield>
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      <subfield code="a">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.</subfield>
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      <subfield code="g">03/11/2014 Volumen 59 Número 1 - noviembre 2014 , p. 1-10</subfield>
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