Ruin probabilities allowing for delay in claims settlement (Q1058802): Difference between revisions

The authors generalize the classical risk process by allowing some delay in claims settlement. For a suitably defined ruin probability \(\psi\) (u) they derive under very general assumptions somewhat complicated upper bounds for \(\psi\) (u) by using martingale techniques. Under some additional assumptions from this they get results corresponding to Lundberg's inequality and to a result of \textit{H. U. Gerber}, Mitt. Verein. Schweiz. Versicherungsmath. 73, 205-216 (1973; Zbl 0278.60047).