On the moments of ruin and recovery times
In this paper we consider the calculation of moments of the time to ruin and the duration of the first period of negative surplus.We present a recursive method by considering a discrete time compound Poisson process used by Dickson et al. [Astin Bull. 25 (2) (1995) 153]. With this method we will als...
| Main Author: | |
|---|---|
| Format: | article |
| Language: | eng |
| Published: |
2022
|
| Subjects: | |
| Online Access: | http://hdl.handle.net/10400.5/24477 |
| Country: | Portugal |
| Oai: | oai:www.repository.utl.pt:10400.5/24477 |