DocumentCode :
2165952
Title :
On the Moments of the Severity of Ruin in the Delayed Renewal Risk Model under Heavy-Tailed Claims
Author :
Jiang, Tao ; Tong, Congyan
Author_Institution :
Dept. of Finance, Zhejiang Gongshang Univ., Hangzhou, China
fYear :
2010
fDate :
24-26 Aug. 2010
Firstpage :
1
Lastpage :
5
Abstract :
Let AD(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 AD(u). This result improves the related works in the recent literature.
Keywords :
exponential distribution; finance; risk analysis; asymptotic formula; delayed renewal risk model; equilibrium distribution; heavy-tailed claims; subexponential class; Biological system modeling; Finance; Insurance; Iron; Load modeling; Loading; Safety;
fLanguage :
English
Publisher :
ieee
Conference_Titel :
Management and Service Science (MASS), 2010 International Conference on
Conference_Location :
Wuhan
Print_ISBN :
978-1-4244-5325-2
Electronic_ISBN :
978-1-4244-5326-9
Type :
conf
DOI :
10.1109/ICMSS.2010.5576890
Filename :
5576890
Link To Document :
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