On the analysis of ruin-related quantities in the delayed renewal risk model

DOI10.1016/J.INSMATHECO.2015.10.011zbMATH Open1348.91158OpenAlexW2194531706MaRDI QIDQ903333FDOQ903333

So-Yeun Kim, Gordon E. Willmot

Publication date: 5 January 2016

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2015.10.011

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zbMATH Keywords

Gerber-Shiu functiondeficit at ruintime of ruinstochastic decompositiondelayed renewal risk modelcompound geometric convolutiondistributional assumption of time until the first claimmaximal aggregate loss

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of renewal theory (reliability, demand theory, etc.) (60K10) Renewal theory (60K05)

Cites Work

• On the time to ruin for Erlang(2) risk processes.
• On the Time Value of Ruin
• On the discounted penalty function in the renewal risk model with general interclaim times
• Some Remarks on Delayed Renewal Risk Models
• A note on a class of delayed renewal risk processes
• Loss models. Further topics
• Lundberg inequalities for renewal equations
• The Gerber-Shiu discounted penalty function in the stationary renewal risk model.
• On a general class of renewal risk process: analysis of the Gerber-Shiu function
• Tail of compound distributions and excess time
• On the Joint Distributions of the Time to Ruin, the Surplus Prior to Ruin, and the Deficit at Ruin in the Classical Risk Model
• On applications of residual lifetimes of compound geometric convolutions
• The proper distribution function of the deficit in the delayed renewal risk model
• The deficit at ruin in the stationary renewal risk model

Cited In (1)

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

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