On Ultimate Ruin in a Delayed-Claims Risk Model

DOI10.1239/jap/1110381378zbMath1074.60089MaRDI QIDQ5312848

Kai Wang Ng, Jun-Yi Guo, Kam-Chuen Yuen

Publication date: 25 August 2005

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

Full work available at URL: https://doi.org/10.1239/jap/1110381378

zbMATH Keywords

weak convergence; Brownian motion; martingale; by-claim; ultimate ruin probability; main claim; Lundberg exponent

Mathematics Subject Classification ID

60J65: Brownian motion

60K99: Special processes

60H05: Stochastic integrals

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