On moments and related quantities in insurance surplus analysis
Lee, Wing Yan
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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.