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

Yebin Cheng; Qihe Tang; Hailiang Yang

doi:10.1016/S0167-7152(02)00234-1

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

Yebin Cheng^*
, Qihe Tang
, Hailiang Yang

^*Corresponding author for this work

University of Science and Technology of China
University of Amsterdam
The University of Hong Kong

Research output: Contribution to journal › Article › peer-review

11 Citations (Scopus)

Abstract

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

Original language	English
Pages (from-to)	367-378
Number of pages	12
Journal	Statistics and Probability Letters
Volume	59
Issue number	4
DOIs	https://doi.org/10.1016/S0167-7152(02)00234-1
Publication status	Published - 15 Oct 2002
Externally published	Yes

Keywords

Ascending ladder
Asymptotics
Renewal risk model
Ruin probabilities
The class L (γ)
φ-moments

Access to Document

10.1016/S0167-7152(02)00234-1

Cite this

@article{17b6a9c12c904aefa4990c646437476b,

title = "Approximations for moments of deficit at ruin with exponential and subexponential claims",

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 φ-moments of Au, where φ is a non-negative and non-decreasing function satisfying certain conditions.",

keywords = "Ascending ladder, Asymptotics, Renewal risk model, Ruin probabilities, The class L (γ), φ-moments",

author = "Yebin Cheng and Qihe Tang and Hailiang Yang",

year = "2002",

month = oct,

day = "15",

doi = "10.1016/S0167-7152(02)00234-1",

language = "English",

volume = "59",

pages = "367--378",

journal = "Statistics and Probability Letters",

issn = "0167-7152",

number = "4",

}

TY - JOUR

T1 - Approximations for moments of deficit at ruin with exponential and subexponential claims

AU - Cheng, Yebin

AU - Tang, Qihe

AU - Yang, Hailiang

PY - 2002/10/15

Y1 - 2002/10/15

N2 - 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 φ-moments of Au, where φ is a non-negative and non-decreasing function satisfying certain conditions.

AB - 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 φ-moments of Au, where φ is a non-negative and non-decreasing function satisfying certain conditions.

KW - Ascending ladder

KW - Asymptotics

KW - Renewal risk model

KW - Ruin probabilities

KW - The class L (γ)

KW - φ-moments

UR - https://www.scopus.com/pages/publications/0037108223

U2 - 10.1016/S0167-7152(02)00234-1

DO - 10.1016/S0167-7152(02)00234-1

M3 - Article

AN - SCOPUS:0037108223

SN - 0167-7152

VL - 59

SP - 367

EP - 378

JO - Statistics and Probability Letters

JF - Statistics and Probability Letters

IS - 4

ER -

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

Abstract

Keywords

Access to Document

Other files and links

Fingerprint

Cite this