Delay in claim settlement and ruin probability approximations

Poisson model ruin probability shot-noise process IBNR claims premium principles ruin problems functional central limit theorems risk reserves general risk model portfolio with delayed claims

Mathematics Subject Classification ID

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

Recommendations

Simulating the ruin probability of risk processes with delay in claim settlement
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A class of risk processes with delayed claims: ruin probability estimates under heavy tail conditions
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On the ruin probability for a delayed-claims risk model perturbed by diffusion
On the probability of ruin in the compound Poisson risk model with potentially delayed claims

Cites work

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

Cited in

(33)

Lundberg parameters for non standard risk processes
Prediction in a Poisson cluster model with multiple cluster processes
Prediction in a Poisson cluster model
A class of risk processes with delayed claims: ruin probability estimates under heavy tail conditions
On the ruin probability for a delayed-claims risk model perturbed by diffusion
Prediction of components in random sums
A risk model with delayed claims
Large deviations of Poisson shot noise processes under heavy tail semi-exponential conditions
Ruin problems under IBNR dynamics
Uniform convergence of autocovariances
Precise large deviations for actual aggregate loss process in a dependent compound customer-arrival-based insurance risk model
Functional limit theorems for marked Hawkes point measures
An insensitivity property of Lundberg's estimate for delayed claims
Tail behavior of Poisson shot noise processes under heavy-tailed shocks and actuarial applications
On a risk model with claim investigation
Ruin probabilities allowing for delay in claims settlement
Delay in claim settlement
Shot-noise queueing models
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
Sample path large deviations for the multiplicative Poisson shot noise process with compensation
Sample quantiles of heavy tailed stochastic processes
Sample path large deviations of Poisson shot noise with heavy-tailed semiexponential distributions
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
Prediction in a mixed Poisson cluster model
Valuing options in shot noise market
Stationary limits of shot noise processes
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 delayed dual risk model
scientific article; zbMATH DE number 1855681 (Why is no real title available?)

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