Spelling suggestions: "subject:"exponentialausdrücke"" "subject:"exponential.therefore""
1 |
Moments of the Ruin Time in a Lévy Risk ModelStrietzel, Philipp Lukas, Behme, Anita 08 April 2024 (has links)
We derive formulas for the moments of the ruin time in a Lévy risk model and use these to determine the asymptotic behavior of the moments of the ruin time as the initial capital tends to infinity. In the special case of the perturbed Cramér-Lundberg model with phase-type or even exponentially distributed claims, we explicitly compute the first two moments of the ruin time. All our considerations distinguish between the profitable and the unprofitable setting.
|
Page generated in 0.0974 seconds