Abstract
We describe an approach to the evaluation of the moments of the time of ruin in the classical Poisson risk model. The methodology employed involves the expression of these moments in terms of linear combinations of convolutions involving compound negative binomial distributions. We then adapt the results for use in the practically important case involving phase-type claim size distributions. We present numerical examples to illuminate the influence of claim size variability on the moments of the time of ruin.
Volume
Volume 9, No. 2
Page
17-30
Year
2005
Categories
Actuarial Applications and Methodologies
Dynamic Risk Modeling
Solvency Analysis
Financial and Statistical Methods
Loss Distributions
Publications
North American Actuarial Journal
