Relations between integrated tails and moments based on the deficit at ruin in the renewal risk model

Georgios Psarrakos

Communications in Statistics - Theory and Methods, 2022, vol. 51, issue 21, 7631-7651

Abstract: In this paper, a renewal model of risk theory is considered, and relations between tails of the equilibrium distribution of the deficit at the time of ruin and a generalization of the equilibrium distribution of non-ruin are obtained. Extensions to higher order equilibrium distribution and Gerber-Shiu functions are also provided. Distributional properties for Pareto and exponential claims are studied. The results are illustrated by numerical examples.

Date: 2022
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DOI: 10.1080/03610926.2021.1875244

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