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

DOI10.1080/03461231003611958zbMath1277.60142OpenAlexW2111084506MaRDI 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

exponentialGerber-Shiu functiondeficit at ruinmixed ErlangLundberg's fundamental equationdelayed renewal risk modelcompound geometric convolution

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)

Related Items (2)

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

Cites Work

• Structural properties of Gerber-Shiu functions in dependent Sparre Andersen models
• A note on a class of delayed renewal risk processes
• On the discounted penalty function in the renewal risk model with general interclaim times
• Aspects of risk theory
• Compound geometric residual lifetime distributions and the deficit at ruin.
• The Gerber-Shiu discounted penalty function in the stationary renewal risk model.
• Lundberg approximations for compound distributions with insurance applications
• The deficit at ruin in the stationary renewal risk model
• On a general class of renewal risk process: analysis of the Gerber-Shiu function

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