Approximations for moments of deficit at ruin with exponential and subexponential claims

Yebin Cheng, Qihe Tang and Hailiang Yang

Statistics & Probability Letters, 2002, vol. 59, issue 4, 367-378

Abstract: Consider a renewal insurance risk model with initial surplus u>0 and let Au denote the deficit at the time of ruin. This paper investigates the asymptotic behavior of the moments of Au as u tends to infinity. Under the assumption that the claim size is exponentially or subexponentially distributed, we obtain some asymptotic relationships for the [phi]-moments of Au, where [phi] is a non-negative and non-decreasing function satisfying certain conditions.

Keywords: Ascending; ladder; Asymptotics; The; class; [phi]-moments; Renewal; risk; model; Ruin; probabilities (search for similar items in EconPapers)
Date: 2002
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Citations: View citations in EconPapers (1)

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