Delay in claim settlement and ruin probability approximations
From MaRDI portal
Publication:4863015
DOI10.1080/03461238.1995.10413955zbMath0836.62086OpenAlexW2034469662MaRDI QIDQ4863015
Thomas Mikosch, Claudia Klüppelberg
Publication date: 6 May 1996
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461238.1995.10413955
functional central limit theoremsruin probabilityPoisson modelshot-noise processIBNR claimspremium principlesruin problemsrisk reservesgeneral risk modelportfolio with delayed claims
Applications of statistics to actuarial sciences and financial mathematics (62P05) Functional limit theorems; invariance principles (60F17)
Related Items
Valuing options in shot noise market, Prediction in a mixed Poisson cluster model, Moment convergence of first-passage times in renewal theory, Sample quantiles of heavy tailed stochastic processes, Prediction of components in random sums, Tail behavior of Poisson shot noise processes under heavy-tailed shocks and actuarial applications, Sample path large deviations for the multiplicative Poisson shot noise process with compensation, A class of risk processes with reserve-dependent premium rate: sample path large deviations and importance sampling, Prediction in a Poisson cluster model with multiple cluster processes, Precise large deviations for actual aggregate loss process in a dependent compound customer-arrival-based insurance risk model, Monte Carlo methods for sensitivity analysis of Poisson-driven stochastic systems, and applications, Unnamed Item, Prediction in a Poisson cluster model, Uniform convergence of autocovariances, Lundberg parameters for non standard risk processes, Large deviations of Poisson shot noise processes under heavy tail semi-exponential conditions, Functional limit theorems for marked Hawkes point measures, Risk processes with shot noise Cox claim number process and reserve dependent premium rate, A class of risk processes with delayed claims: ruin probability estimates under heavy tail conditions, Stationary limits of shot noise processes, Sample Path Large Deviations of Poisson Shot Noise with Heavy-Tailed Semiexponential Distributions, Asymptotic analysis of Poisson shot noise processes, and applications, Shot-noise queueing models, Ruin probabilities and aggregrate claims distributions for shot noise Cox processes
Cites Work