On the Discounted Kth Moment of the Deficit at Ruin in the Delayed Renewal Risk Model
- Авторы: Kim S.1, Ko B.2
-
Учреждения:
- Department of Finance and Insurance
- Department of Statistics and Actuarial Science
- Выпуск: Том 39, № 3 (2018)
- Страницы: 348-354
- Раздел: Article
- URL: https://journals.rcsi.science/1995-0802/article/view/201801
- DOI: https://doi.org/10.1134/S1995080218030150
- ID: 201801
Цитировать
Аннотация
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.
Ключевые слова
Об авторах
So-Yeun Kim
Department of Finance and Insurance
Автор, ответственный за переписку.
Email: s22kim@hotmail.com
Республика Корея, 2639 Sejong-ro, Jochiwon-eup, Sejong, 339-701
Bangwon Ko
Department of Statistics and Actuarial Science
Email: s22kim@hotmail.com
Республика Корея, 369 Sangdo-ro, Dongjak-gu, Seoul, 156-743