On the Moments of the Severity of Ruin in the Delayed Renewal Risk Model under Heavy-Tailed Claims

Let A_D(u) be the deficit at ruin in the delayed renewal risk model, where u is the initial capital of the company. Under the assumption that the equilibrium distribution of the claim size belongs to the subexponential class, this paper obtains an asymptotic formula for the φ-moment of A_D(u). This result improves the related works in the recent literature.