On the discounted Kth moment of the deficit at ruin in the delayed renewal risk model

DOI10.1134/S1995080218030150zbMATH Open1406.91199OpenAlexW2803035325WikidataQ129967404 ScholiaQ129967404MaRDI QIDQ722290FDOQ722290

Authors: 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

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

Cited In (5)

• Moments of deficit duration and its proportion in general compound binomial model
• On the analysis of ruin-related quantities in the delayed renewal risk model
• ASYMPTOTIC DISTRIBUTION OF THE DISCOUNTED PROPER DEFICIT IN THE DISCRETE TIME DELAYED RENEWAL MODEL
• The proper distribution function of the deficit in the delayed renewal risk model
• Title not available (Why is that?)

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