Approximations for moments of deficit at ruin with exponential and subexponential claims.
type: Item
instance of: scholarly article
title: Approximations for moments of deficit at ruin with exponential and subexponential claims.
zbMATH Open document ID: 1092.62599
DOI: 10.1016/S0167-7152(02)00234-1
author: Hailiang Yang
author: Yebin Cheng
author: Qihe Tang
published in: Statistics \& Probability Letters
publication date: 2003-05-07T00:00:00Z
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 62E20
zbMATH DE Number: 1906970
zbMATH Keywords: Ascending ladder
zbMATH Keywords: Asymptotics
zbMATH Keywords: The class \(\mathcal S(\gamma)\)
zbMATH Keywords: \(\phi\)-moments
zbMATH Keywords: Renewal risk
zbMATH Keywords: model
zbMATH Keywords: Ruin probabilities
MaRDI profile type: Publication
cites work: Q4726487
cites work: The probability and severity of ruin for combinations of exponential claim amount distributions and their translations
cites work: The surpluses immediately before and at ruin, and the amount of the claim causing ruin
cites work: Estimates for the probability of ruin with special emphasis on the possibility of large claims
cites work: Q5624436
cites work: The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
cites work: Two-sided bounds of ruin probabilities
cites work: Subexponential distributions and characterizations of related classes
cites work: The moments of the time of ruin, the surplus before ruin, and the deficit at ruin
cites work: On the Distribution of the Surplus Prior and at Ruin
cites work: Asymptotic behaviour of Wiener-Hopf factors of a random walk
cites work: The Joint Distribution of Surplus Immediately before Ruin and the Deficit at Ruin under Interest Force
full work available at URL: s0167-7152(02)00234-1
OpenAlex ID: W2145411551
description: scientific article; zbMATH DE number 1906970