The incomplete moment generating function (IMGF) has paramount relevance in communication theory, since it appears in a plethora of scenarios when analyzing the performance of communication systems. We here present a general method for calculating the IMGF of any arbitrary fading distribution. Then, we provide exact closed-form expressions for the IMGF of the very general κ-μ shadowed fading model, which includes the popular κ-μ, η-μ, Rician shadowed, and other classical models as particular cases. We illustrate the practical applicability of this result by analyzing several scenarios of interest in wireless communications: 1) physical layer security in the presence of an eavesdropper; 2) outage probability analysis with interference and background noise; 3) channel capacity with side information at the transmitter and the receiver; and 4) average bit-error rate with adaptive modulation, when the fading on the desired link can be modeled by any of the aforementioned distributions.
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