On the probability of ruin in the compound Poisson risk model with potentially delayed claims

DOI10.1007/S40065-012-0043-0MaRDI QIDQ742099zbMATH OpenOpenAlexWikidataFDO

Authors Wei Zou, Jianwei Gao, Jie-hua Xie

Publication date 18 September 2014

Published in Arabian Journal of Mathematics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/s40065-012-0043-0

zbMATH Keywords

integro-differential equationscompound Poisson risk modelprobability of ruindelayed claims

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Brownian motion (60J65) Integro-ordinary differential equations (45J05)

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Cites work

• scientific article; zbMATH DE number 3671542 (Why is no real title available?)
• A ruin model with dependence between claim sizes and claim intervals
• Analysis of a defective renewal equation arising in ruin theory
• Delay in claim settlement
• Expected present value of total dividends in a delayed claims risk model under stochastic interest rates
• Exponential Behavior in the Presence of Dependence in Risk Theory
• Gerber-Shiu analysis in a perturbed risk model with dependence between claim sizes and interclaim times
• Large deviations for risk models in which each main claim induces a delayed claim
• On Ultimate Ruin in a Delayed-Claims Risk Model
• On a risk model with dependence between interclaim arrivals and claim sizes
• On a risk model with stochastic premiums income and dependence between income and loss
• On the expected discounted penalty function for the compound Poisson risk model with delayed claims
• On the probability of ruin in a continuous risk model with delayed claims
• On the time to ruin for Erlang(2) risk processes.
• Ruin probabilities allowing for delay in claims settlement
• Ruin probabilities for time-correlated claims in the compound binomial model.
• The compound binomial risk model with time-correlated claims

Cited in

(8)

• On the expected discounted penalty function for the compound Poisson risk model with delayed claims
• On the probability of ruin in a continuous risk model with two types of delayed claims
• On a compound Poisson risk model with delayed claims and random incomes
• On the probability of ruin in a continuous risk model with delayed claims
• Delay in claim settlement and ruin probability approximations
• On a risk model with claim investigation
• Survival probability of a dependent setting two-type risk
• A discrete-time risk model with Poisson ARCH claim-number process

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