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

DOI10.1016/J.INSMATHECO.2015.10.011MaRDI QIDQ903333zbMATH OpenOpenAlexFDO

Authors 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

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)

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• A note on a class of delayed renewal risk processes
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• On the moments of the severity of ruin in the delayed renewal risk model under heavy-tailed claims

Cites work

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

Cited in

(2)

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

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