The proper distribution function of the deficit in the delayed renewal risk model

DOI10.1080/03461231003611958zbMath1277.60142MaRDI QIDQ2866281

Gordon E. Willmot, So-Yeun Kim

Publication date: 13 December 2013

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461231003611958

zbMATH Keywords

exponential; Gerber-Shiu function; deficit at ruin; mixed Erlang; Lundberg's fundamental equation; delayed renewal risk model; compound geometric convolution

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

60K10: Applications of renewal theory (reliability, demand theory, etc.)

60K05: Renewal theory

Related Items

On the discounted \(K\)th moment of the deficit at ruin in the delayed renewal risk model, On the analysis of ruin-related quantities in the delayed renewal risk model

Cites Work

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