Ruin problems under IBNR dynamics
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Publication:2862435
DOI10.1002/asmb.875zbMath1275.91079OpenAlexW2150058316MaRDI QIDQ2862435
Julien Trufin, Michel M. Denuit, Hansjoerg Albrecher
Publication date: 15 November 2013
Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)
Full work available at URL: https://serval.unil.ch/notice/serval:BIB_FF8477DB3369
large deviationsmartingaleconvex orderultimate ruin probabilityIBNR claimsdiscrete-time risk process
Related Items (5)
On a risk model with claim investigation ⋮ A delayed dual risk model ⋮ A Risk Process with Delayed Claims and Constant Dividend Barrier ⋮ An IBNR-RBNS insurance risk model with marked Poisson arrivals ⋮ A Risk Model with Delayed Claims
Cites Work
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- Delay in claim settlement
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- Rough descriptions of ruin for a general class of surplus processes
- Logarithmic asymptotics for steady-state tail probabilities in a single-server queue
- An insensitivity property of Lundberg's estimate for delayed claims
- On Ultimate Ruin in a Delayed-Claims Risk Model
- Lundberg parameters for non standard risk processes
- A class of risk processes with delayed claims: ruin probability estimates under heavy tail conditions
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