On the Discounted Kth Moment of the Deficit at Ruin in the Delayed Renewal Risk Model
- Autores: Kim S.1, Ko B.2
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Afiliações:
- Department of Finance and Insurance
- Department of Statistics and Actuarial Science
- Edição: Volume 39, Nº 3 (2018)
- Páginas: 348-354
- Seção: Article
- URL: https://journals.rcsi.science/1995-0802/article/view/201801
- DOI: https://doi.org/10.1134/S1995080218030150
- ID: 201801
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Resumo
In this paper, we derive a very general expression for the discounted kth moment of the deficit at ruin in the delayed renewal risk model. The formula would yield some of the earlier relevant results as special cases, and reduce to a mathematically tractable form if the distributions for claim sizes and interclaim times are of exponential variants including a mixture of Erlang distributions. We provide numerical examples with an emphasis on the impact of the time until the first claim on the kth moment of the deficit at ruin.
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Sobre autores
So-Yeun Kim
Department of Finance and Insurance
Autor responsável pela correspondência
Email: s22kim@hotmail.com
República da Coreia, 2639 Sejong-ro, Jochiwon-eup, Sejong, 339-701
Bangwon Ko
Department of Statistics and Actuarial Science
Email: s22kim@hotmail.com
República da Coreia, 369 Sangdo-ro, Dongjak-gu, Seoul, 156-743