A risk model with delayed claims
DOI10.1239/JAP/1378401230zbMATH Open1278.91084OpenAlexW3124787505MaRDI QIDQ2854075FDOQ2854075
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
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asymptoticsrisk modelruin probabilitynonhomogeneous Poisson processdelayed claim[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=generalised+Cram%EF%BF%BD%EF%BF%BDr-Lundberg+approximation&go=Go generalised Cram��r-Lundberg approximation]
Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Central limit and other weak theorems (60F05)
Cites Work
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- Ruin probabilities allowing for delay in claims settlement
- On Ultimate Ruin in a Delayed-Claims Risk Model
- Delay in claim settlement
- Simple approximations of ruin probabilities
- Ruin probabilities and aggregrate claims distributions for shot noise Cox processes
- An insensitivity property of Lundberg's estimate for delayed claims
- Letter to the Editor—The Output of an M/G/∞ Queuing System is Poisson
- A dynamic contagion process
- Asymptotic results for perturbed risk processes with delayed claims
- Ruin problems under IBNR dynamics
- Properties of the bivariate delayed Poisson process
Cited In (15)
- Title not available (Why is that?)
- Sample path large and moderate deviations for risk model with delayed claims
- An IBNR-RBNS insurance risk model with marked Poisson arrivals
- On Ultimate Ruin in a Delayed-Claims Risk Model
- Simulating the ruin probability of risk processes with delay in claim settlement
- Asymptotics for ultimate ruin probability in a by-claim risk model
- On asymptotic finite-time ruin probability of a renewal risk model with subexponential main claims and delayed claims
- Delay in claim settlement
- Large deviations for risk models in which each main claim induces a delayed claim
- On the ruin probability for a delayed-claims risk model perturbed by diffusion
- Hawkes processes in insurance: risk model, application to empirical data and optimal investment
- Some remarks on delayed renewal risk models
- An insensitivity property of Lundberg's estimate for delayed claims
- A Risk Process with Delayed Claims and Constant Dividend Barrier
- Local ruin probability in the delayed renewal risk model with large claims
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