On the discounted \(K\)th moment of the deficit at ruin in the delayed renewal risk model

DOI10.1134/S1995080218030150zbMath1406.91199OpenAlexW2803035325WikidataQ129967404 ScholiaQ129967404MaRDI QIDQ722290

So-Yeun Kim, Bangwon Ko

Publication date: 23 July 2018

Published in: Lobachevskii Journal of Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s1995080218030150

zbMATH Keywords

Gerber-Shiu functiondeficit at ruintime of ruindelayed renewal risk model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Cites Work

• On the analysis of ruin-related quantities in the delayed renewal risk model
• On the discounted penalty function in the renewal risk model with general interclaim times
• The Gerber-Shiu discounted penalty function in the stationary renewal risk model.
• The proper distribution function of the deficit in the delayed renewal risk model
• Exponential and scale mixtures and equilibrium distributions
• The deficit at ruin in the stationary renewal risk model
• On the Time Value of Ruin

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