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

DOI10.1016/j.insmatheco.2015.10.011zbMath1348.91158OpenAlexW2194531706MaRDI QIDQ903333

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

stochastic decompositionGerber-Shiu functiondeficit at ruintime of ruindelayed renewal risk modelcompound geometric convolutiondistributional assumption of time until the first claimmaximal aggregate loss

Mathematics Subject Classification ID

Related Items (1)

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

Cites Work

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

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