Lundberg-type bounds and asymptotics for the moments of the time to ruin (Q2270189)

In this paper, the authors study the k-th moment of the time to ruin in a classical ruin risk model (the 0-th moment being the probability of ruin). For the k-th moment of the time to ruin, they obtain analogues of Lundberg's inequality, and asymptotic behavior under the assumption that the Lundberg adjustment coefficient exists. With respect to the previous literature, these results are easily tractable for any choice of light-tailed distributions. Asymptotic behavior of the first moment of the time of ruin is studied also when the distribution of claim amount is heavy and in the intermediate case in which the claim-size distribution is not heavy yet the Lundberg adjustment coefficient does not exist.