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Relations between integrated tails and moments based on the deficit at ruin in the renewal risk model

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  • Georgios Psarrakos

Abstract

In this paper, a renewal model of risk theory is considered, and relations between tails of the equilibrium distribution of the deficit at the time of ruin and a generalization of the equilibrium distribution of non-ruin are obtained. Extensions to higher order equilibrium distribution and Gerber-Shiu functions are also provided. Distributional properties for Pareto and exponential claims are studied. The results are illustrated by numerical examples.

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  • Georgios Psarrakos, 2022. "Relations between integrated tails and moments based on the deficit at ruin in the renewal risk model," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 51(21), pages 7631-7651, November.
    • Handle: RePEc:taf:lstaxx:v:51:y:2022:i:21:p:7631-7651
    DOI: 10.1080/03610926.2021.1875244
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