An insensitivity property of Lundberg's estimate for delayed claims

DOI10.1239/JAP/1014842846MaRDI QIDQ4529151zbMATHOpenAlexFDO

Authors Pierre Brémaud

Publication date 17 September 2001

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

Full work available at URL https://semanticscholar.org/paper/277419be6df2a0be9e9ee4a8a172fdd46bc2d509

zbMATH Keywords

large deviationsPoisson shot noiseruin problem

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• On Ultimate Ruin in a Delayed-Claims Risk Model
• A risk model with delayed claims
• Asymptotic results for perturbed risk processes with delayed claims
• Ruin probabilities allowing for delay in claims settlement
• Delay in claim settlement and ruin probability approximations

Cited in

(27)

• Lundberg parameters for non standard risk processes
• A class of risk processes with delayed claims: ruin probability estimates under heavy tail conditions
• A 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
• Large deviations of Poisson shot noise processes under heavy tail semi-exponential conditions
• The compound binomial risk model with time-correlated claims
• Risk processes with non-stationary Hawkes claims arrivals
• Ruin problems under IBNR dynamics
• Poisson shot noise traffic model and approximation of significant functionals
• Precise deviations for Cox processes with a shot noise intensity
• Tail behavior of Poisson shot noise processes under heavy-tailed shocks and actuarial applications
• Asymptotic results for perturbed risk processes with delayed claims
• A risk model with renewal shot-noise Cox process
• Asymptotic tail behavior of Poisson shot-noise processes with interdependence between shock and arrival time
• Simulating the ruin probability of risk processes with delay in claim settlement
• Delay in claim settlement
• Risk comparisons of premium rules: Optimality and a life insurance study
• On Ultimate Ruin in a Delayed-Claims Risk Model
• Ruin probabilities and aggregrate claims distributions for shot noise Cox processes
• Monte Carlo methods for sensitivity analysis of Poisson-driven stochastic systems, and applications
• An IBNR-RBNS insurance risk model with marked Poisson arrivals
• scientific article; zbMATH DE number 7708735 (Why is no real title available?)
• Risk processes with shot noise Cox claim number process and reserve dependent premium rate
• Moments of renewal shot-noise processes and their applications
• On convolution equivalence with applications
• Asymptotic analysis of Poisson shot noise processes, and applications

This page was built for publication: An insensitivity property of Lundberg's estimate for delayed claims

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4529151)