Delay in claim settlement and ruin probability approximations

DOI10.1080/03461238.1995.10413955zbMATH Open0836.62086OpenAlexW2034469662MaRDI QIDQ4863015FDOQ4863015

Authors: Claudia Klüppelberg, T. Mikosch 

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

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zbMATH Keywords

Poisson modelruin probabilityshot-noise processIBNR claimspremium principlesruin problemsfunctional central limit theoremsrisk reservesgeneral risk modelportfolio with delayed claims

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Functional limit theorems; invariance principles (60F17)

Cites Work

• Delay in claim settlement
• Diffusion approximations in collective risk theory
• The central limit theorem for the Poisson shot-noise process
• The expected value of IBNR-claims
• Stochastic Discounting, Aggregate Claims, and the Bootstrap
• The Berry-Esseen bound for the Poisson shot-noise

Cited In (34)

• Prediction in a Poisson cluster model
• Ruin problems under IBNR dynamics
• Sample path large deviations for the multiplicative Poisson shot noise process with compensation
• Title not available (Why is that?)
• Prediction of components in random sums
• Stationary limits of shot noise processes
• Prediction in a mixed Poisson cluster model
• Title not available (Why is that?)
• Ruin probabilities and aggregrate claims distributions for shot noise Cox processes
• Precise large deviations for actual aggregate loss process in a dependent compound customer-arrival-based insurance risk model
• Limit theorems for renewal shot noise processes with eventually decreasing response functions
• Prediction in a Poisson cluster model with multiple cluster processes
• On Ultimate Ruin in a Delayed-Claims Risk Model
• Functional limit theorems for marked Hawkes point measures
• Monte Carlo methods for sensitivity analysis of Poisson-driven stochastic systems, and applications
• Sample path large deviations of Poisson shot noise with heavy-tailed semiexponential distributions
• Delay in claim settlement
• Ruin probabilities allowing for delay in claims settlement
• Valuing options in shot noise market
• Asymptotic analysis of Poisson shot noise processes, and applications
• A class of risk processes with reserve-dependent premium rate: sample path large deviations and importance sampling
• A risk model with delayed claims
• On the ruin probability for a delayed-claims risk model perturbed by diffusion
• On a risk model with claim investigation
• A delayed dual risk model
• An insensitivity property of Lundberg's estimate for delayed claims
• Uniform convergence of autocovariances
• Sample quantiles of heavy tailed stochastic processes
• Risk processes with shot noise Cox claim number process and reserve dependent premium rate
• Shot-noise queueing models
• Tail behavior of Poisson shot noise processes under heavy-tailed shocks and actuarial applications
• Lundberg parameters for non standard risk processes
• A class of risk processes with delayed claims: ruin probability estimates under heavy tail conditions
• Large deviations of Poisson shot noise processes under heavy tail semi-exponential conditions

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