Symbolic calculation of the moments of the time of ruin

Autor:	James E. Stafford, Gordon E. Willmot, Steve Drekic
Rok vydání:	2004
Předmět:	Statistics and Probability Economics and Econometrics Relation (database) Laplace transform Principal (computer security) Symbolic computation Symbolic calculation Set (abstract data type) Risk model Calculus Applied mathematics Statistics Probability and Uncertainty Algebraic number Mathematics
Zdroj:	Insurance: Mathematics and Economics. 34:109-120
ISSN:	0167-6687
DOI:	10.1016/j.insmatheco.2003.11.004
Popis:	Lin and Willmot [Insurance: Mathematics and Economics 27 (2000) 19] derived a set of defective renewal difference equations involving the moments of the time of ruin in the classical insurance risk model. In principal, this allows for evaluation of these moments. Even with their result, however, it becomes apparent that obtaining even the first two moments is complicated due to the recursive nature of the relation and sheer volume of algebra. To combat these difficulties and obtain higher order moments, we explore the use of symbolic computation as a tool to automate the algebraic detail. In particular, we present a Mathematica program that algebraically calculates the moments of the time of ruin.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::54318fa97b762932bd8d7c1282e155cc https://doi.org/10.1016/j.insmatheco.2003.11.004 Zobrazit plný text záznamu Full Text from ScienceDirect