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On moments and related quantities in insurance surplus analysis

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Lee_Wing_Yan.pdf (766.88 KB)

Date

2014-08-15

Authors

Lee, Wing Yan

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Publisher

University of Waterloo

Abstract

In risk theory, the time to ruin is one of the central quantities. The Laplace transform, density and moments of the time to ruin have been studied by many authors under different risk model assumptions. The Gerber-Shiu function provides an analytic tool in studying these quantities. The main focus of this thesis is to study the moments involving the time to ruin by using the Gerber-Shiu function as the analytic tool.

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Keywords

Moments, Time to ruin, Insurance surplus analysis

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http://hdl.handle.net/10012/8638

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Theses
Statistics and Actuarial Science