A risk model with delayed claims

DOI10.1239/JAP/1378401230MaRDI QIDQ2854075zbMATHOpenAlexFDO

Authors Angelos Dassios, Hongbiao Zhao

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

asymptoticsrisk modelruin probabilitynonhomogeneous Poisson processdelayed claimgeneralised Cramér-Lundberg approximation

Mathematics Subject Classification ID

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

Recommendations

• Delay in claim settlement and ruin probability approximations
• On Ultimate Ruin in a Delayed-Claims Risk Model
• The asymptotics for the ruin probabilities of a risk model with delayed heavy-tailed claims
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• The ruin probability for a delayed-claims risk model with constant interest force under heavy-tailed claims

Cites work

• scientific article; zbMATH DE number 3671542 (Why is no real title available?)
• A dynamic contagion process
• An insensitivity property of Lundberg's estimate for delayed claims
• Asymptotic results for perturbed risk processes with delayed claims
• Delay in claim settlement
• Explosive Poisson shot noise processes with applications to risk reserves
• Letter to the Editor—The Output of an M/G/∞ Queuing System is Poisson
• On Ultimate Ruin in a Delayed-Claims Risk Model
• On the time to ruin for Erlang(2) risk processes.
• Properties of the bivariate delayed Poisson process
• Ruin probabilities allowing for delay in claims settlement
• Ruin probabilities and aggregrate claims distributions for shot noise Cox processes
• Ruin problems under IBNR dynamics
• Simple approximations of ruin probabilities

Cited in

(21)

• Hawkes processes in insurance: risk model, application to empirical data and optimal investment
• On asymptotic finite-time ruin probability of a renewal risk model with subexponential main claims and delayed claims
• On the ruin probability for a delayed-claims risk model perturbed by diffusion
• Sample path large and moderate deviations for risk model with delayed claims
• Large deviations for risk models in which each main claim induces a delayed claim
• A risk process with delayed claims and constant dividend barrier
• Ruin problems under IBNR dynamics
• The asymptotics for the ruin probabilities of a risk model with delayed heavy-tailed claims
• Asymptotics for ultimate ruin probability in a by-claim risk model
• An insensitivity property of Lundberg's estimate for delayed claims
• On the probability of ruin in the compound Poisson risk model with potentially delayed claims
• On a risk model with claim investigation
• Simulating the ruin probability of risk processes with delay in claim settlement
• Delay in claim settlement
• Local ruin probability in the delayed renewal risk model with large claims
• Some remarks on delayed renewal risk models
• On Ultimate Ruin in a Delayed-Claims Risk Model
• An IBNR-RBNS insurance risk model with marked Poisson arrivals
• Asymptotic ruin probabilities for a renewal risk model with a random number of delayed claims
• A delayed dual risk model
• scientific article; zbMATH DE number 1855681 (Why is no real title available?)

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