Abstract
Consider a renewal insurance risk model with initial surplus u ¿0 and let Au denote the de"cit at the
time ofruin. This paper investigates the asymptotic behavior ofthe moments of Au as u tends to in"nity.
Under the assumption that the claim size is exponentially or subexponentially distributed, we obtain some
asymptotic relationships for the -moments of Au, where is a non-negative and non-decreasing function
satisfying certain conditions.
time ofruin. This paper investigates the asymptotic behavior ofthe moments of Au as u tends to in"nity.
Under the assumption that the claim size is exponentially or subexponentially distributed, we obtain some
asymptotic relationships for the -moments of Au, where is a non-negative and non-decreasing function
satisfying certain conditions.
| Original language | English |
|---|---|
| Pages (from-to) | 367-378 |
| Journal | Statistics and Probability Letters |
| Volume | 59 |
| Issue number | 4 |
| Publication status | Published - 2002 |
| Externally published | Yes |
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Cheng, Y., Tang, Q., & Yang, H. (2002). Approximations for moments of de"cit at ruin with exponential and subexponential claims. Statistics and Probability Letters, 59(4), 367-378. http://S0167-7152(02)00234-1