Ruin problems under IBNR dynamics

DOI10.1002/ASMB.875zbMATH Open1275.91079OpenAlexW2150058316MaRDI QIDQ2862435FDOQ2862435

Authors: Julien Trufin, Hansjörg Albrecher, Michel Denuit 

Publication date: 15 November 2013

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://serval.unil.ch/notice/serval:BIB_FF8477DB3369

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zbMATH Keywords

martingalelarge deviationsconvex orderIBNR claimsultimate ruin probabilitydiscrete-time risk process

Mathematics Subject Classification ID

Cites Work

• Explosive Poisson shot noise processes with applications to risk reserves
• Ruin probabilities allowing for delay in claims settlement
• On Ultimate Ruin in a Delayed-Claims Risk Model
• Delay in claim settlement
• An insensitivity property of Lundberg's estimate for delayed claims
• Lundberg parameters for non standard risk processes
• A class of risk processes with delayed claims: ruin probability estimates under heavy tail conditions
• Asymptotic behaviour of Wiener-Hopf factors of a random walk
• Logarithmic asymptotics for steady-state tail probabilities in a single-server queue
• Asymptotic ruin probabilities for risk processes with dependent increments.
• Rough descriptions of ruin for a general class of surplus processes
• A class of risk processes with reserve-dependent premium rate: sample path large deviations and importance sampling
• Asymptotic results for perturbed risk processes with delayed claims
• Exponential smoothing and credibility theory

Cited In (10)

• A risk process with delayed claims and constant dividend barrier
• New Methods for the Problem of Collective Ruin
• An IBNR-RBNS insurance risk model with marked Poisson arrivals
• On the time to ruin for a dependent delayed capital injection risk model
• Ruin problems with assets and liabilities of diffusion type
• Simulating the ruin probability of risk processes with delay in claim settlement
• Delay in claim settlement
• A risk model with delayed claims
• On a risk model with claim investigation
• A delayed dual risk model

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