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

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  • Cheng, Yebin
  • Tang, Qihe
  • Yang, Hailiang

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.

Suggested Citation

  • Cheng, Yebin & Tang, Qihe & Yang, Hailiang, 2002. "Approximations for moments of deficit at ruin with exponential and subexponential claims," Statistics & Probability Letters, Elsevier, vol. 59(4), pages 367-378, October.
    • Handle: RePEc:eee:stapro:v:59:y:2002:i:4:p:367-378
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    References listed on IDEAS

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    1. Schmidli, Hanspeter, 1999. "On the Distribution of the Surplus Prior and at Ruin," ASTIN Bulletin, Cambridge University Press, vol. 29(2), pages 227-244, November.
    2. Lin, X. Sheldon & Willmot, Gordon E., 2000. "The moments of the time of ruin, the surplus before ruin, and the deficit at ruin," Insurance: Mathematics and Economics, Elsevier, vol. 27(1), pages 19-44, August.
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    6. Dickson, David C. M. & Waters, Howard R., 1992. "The Probability and Severity of Ruin in Finite and Infinite Time," ASTIN Bulletin, Cambridge University Press, vol. 22(2), pages 177-190, November.
    7. Veraverbeke, N., 1977. "Asymptotic behaviour of Wiener-Hopf factors of a random walk," Stochastic Processes and their Applications, Elsevier, vol. 5(1), pages 27-37, February.
    8. Hailiang Yang & Lihong Zhang, 2001. "The Joint Distribution of Surplus Immediately before Ruin and the Deficit at Ruin under Interest Force," North American Actuarial Journal, Taylor & Francis Journals, vol. 5(3), pages 92-103.
    9. Yang, Hailiang & Zhang, Lihong, 2001. "On the distribution of surplus immediately before ruin under interest force," Statistics & Probability Letters, Elsevier, vol. 55(3), pages 329-338, December.
    10. Embrechts, P. & Veraverbeke, N., 1982. "Estimates for the probability of ruin with special emphasis on the possibility of large claims," Insurance: Mathematics and Economics, Elsevier, vol. 1(1), pages 55-72, January.
    11. Gerber, Hans U. & Shiu, Elias S. W., 1997. "The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin," Insurance: Mathematics and Economics, Elsevier, vol. 21(2), pages 129-137, November.
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    Cited by:

    1. Wang, Kaiyong & Yang, Yang & Yu, Changjun, 2013. "Estimates for the overshoot of a random walk with negative drift and non-convolution equivalent increments," Statistics & Probability Letters, Elsevier, vol. 83(6), pages 1504-1512.

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