✦ LIBER ✦
Approximations for moments of deficit at ruin with exponential and subexponential claims
✍ Scribed by Yebin Cheng; Qihe Tang; Hailiang Yang
- Publisher
- Elsevier Science
- Year
- 2002
- Tongue
- English
- Weight
- 156 KB
- Volume
- 59
- Category
- Article
- ISSN
- 0167-7152
No coin nor oath required. For personal study only.
✦ Synopsis
Consider a renewal insurance risk model with initial surplus u ¿ 0 and let A u denote the deÿcit at the time of ruin. This paper investigates the asymptotic behavior of the moments of A u as u tends to inÿnity. Under the assumption that the claim size is exponentially or subexponentially distributed, we obtain some asymptotic relationships for the -moments of A u , where is a non-negative and non-decreasing function satisfying certain conditions.