A risk model with delayed claims (Q2854075)
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scientific article; zbMATH DE number 6216053
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A risk model with delayed claims |
scientific article; zbMATH DE number 6216053 |
Statements
17 October 2013
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delayed claim
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risk model
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ruin probability
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asymptotics
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generalised Cramér-Lundberg approximation
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nonhomogeneous Poisson process
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A risk model with delayed claims (English)
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This paper introduces a simple delayed-claim model: it is assumed that claims arrive according to a Poisson process, that claims follow a light-tailed distribution, i.e., the distribution of claims has a moment generating function, and that each of the claims will be settled in a randomly delayed period of time. The loss of each claim payment occurs only at the settlement time, rather than at the arrival time. The authors obtain asymptotic expressions for the ruin probability. A finer asymptotic formula is obtained for the special case of exponentially delayed claims, and an exact formula is obtained for the exponentially distributed claims.
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