Lundberg-type Bounds and Asymptotics for the Moments of the Time to Ruin |
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| Authors: | Vaios Dermitzakis Susan M Pitts Konstadinos Politis |
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| Institution: | 1.Department of Statistics and Insurance,University of Piraeus,Piraeus,Greece;2.Statistical Laboratory, Centre for Mathematical Sciences,University of Cambridge,Cambridge,UK |
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| Abstract: | We obtain analogues of Lundberg’s inequality and the Cramér—Lundberg asymptotic relationship for the k-th moment of the time to ruin in the classical risk model. We also derive the asymptotic behaviour of the mean time to ruin
when the claim size distribution has a heavy or intermediate tail. |
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