Large deviations for risk models in which each main claim induces a delayed claim

DOI10.1080/17442500600724941MaRDI QIDQ5485916zbMATH OpenOpenAlexFDO

Authors Claudio Macci

Publication date 4 September 2006

Published in Stochastics (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/2108/39277

zbMATH Keywords

risk modellarge deviationsMarkov modulationruin probabilitiesLundberg's estimate

Mathematics Subject Classification ID

Large deviations (60F10)

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Cites work

• scientific article; zbMATH DE number 410740 (Why is no real title available?)
• An insensitivity property of Lundberg's estimate for delayed claims
• Asymptotic results for perturbed risk processes with delayed claims
• Boundary-Value Problems for Random Walks and Large Deviations in Function Spaces
• Large deviations and overflow probabilities for the general single-server queue, with applications
• Large deviations for vector-valued Lévy processes
• Lundberg parameters for non standard risk processes
• On Ultimate Ruin in a Delayed-Claims Risk Model
• Sample path large deviations principles for Poisson shot noise processes, and applications

Cited in

(9)

• Sample path large and moderate deviations for risk model with delayed claims
• An IBNR-RBNS insurance risk model with marked Poisson arrivals
• On the probability of ruin in the compound Poisson risk model with potentially delayed claims
• On Ultimate Ruin in a Delayed-Claims Risk Model
• scientific article; zbMATH DE number 7266812 (Why is no real title available?)
• Asymptotic results for perturbed risk processes with delayed claims
• On the Gerber-Shiu discounted penalty function in a risk model with delayed claims
• Large deviations for the time-integrated negative parts of some processes
• The Cramér-Lundberg model with a fluctuating number of clients

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