Asymptotic results for perturbed risk processes with delayed claims

DOI10.1016/j.insmatheco.2004.01.003zbMath1136.60322OpenAlexW2007632216MaRDI QIDQ868326

Claudio Macci, Giovanni Luca Torrisi

Publication date: 2 March 2007

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2004.01.003

zbMATH Keywords

large deviationsruin probabilityshot-noiseLundberg parameterperturbed risk process

Mathematics Subject Classification ID

Related Items (14)

The Gerber-Shiu function for the compound Poisson Omega model with a three-step premium rate ⋮ 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 ⋮ A delayed dual risk model ⋮ An IBNR-RBNS insurance risk model with marked Poisson arrivals ⋮ Lundberg parameters for non standard risk processes ⋮ Large deviations of Poisson shot noise processes under heavy tail semi-exponential conditions ⋮ Large deviations for risk processes with reinsurance ⋮ On the probability of ruin in a continuous risk model with two types of delayed claims ⋮ Asymptotic analysis of Poisson shot noise processes, and applications ⋮ Large deviations for risk models in which each main claim induces a delayed claim ⋮ A Risk Model with Delayed Claims ⋮ Ruin problems under IBNR dynamics ⋮ Ruin probabilities and aggregrate claims distributions for shot noise Cox processes

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