A Risk Model with Delayed Claims

DOI10.1239/JAP/1378401230zbMath1278.91084OpenAlexW3124787505MaRDI QIDQ2854075

Hongbiao Zhao, Angelos Dassios

Publication date: 17 October 2013

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.jap/1378401230

zbMATH Keywords

asymptoticsruin probabilitynonhomogeneous Poisson processrisk modeldelayed claimgeneralised Cramér-Lundberg approximation

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (5)

Hawkes processes in insurance: risk model, application to empirical data and optimal investment ⋮ A Risk Process with Delayed Claims and Constant Dividend Barrier ⋮ An IBNR-RBNS insurance risk model with marked Poisson arrivals ⋮ On asymptotic finite-time ruin probability of a renewal risk model with subexponential main claims and delayed claims ⋮ Asymptotics for ultimate ruin probability in a by-claim risk model

Cites Work

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• Delay in claim settlement
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• Ruin problems under IBNR dynamics
• A dynamic contagion process
• Ruin probabilities and aggregrate claims distributions for shot noise Cox processes
• Properties of the bivariate delayed Poisson process
• An insensitivity property of Lundberg's estimate for delayed claims
• On Ultimate Ruin in a Delayed-Claims Risk Model
• Letter to the Editor—The Output of an M/G/∞ Queuing System is Poisson

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