Ruin problems under IBNR dynamics

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

zbMATH Keywords

large deviationsmartingaleconvex orderultimate ruin probabilityIBNR claimsdiscrete-time risk process

Mathematics Subject Classification ID

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

• Asymptotic results for perturbed risk processes with delayed claims
• A class of risk processes with reserve-dependent premium rate: sample path large deviations and importance sampling
• Delay in claim settlement
• Exponential smoothing and credibility theory
• Ruin probabilities allowing for delay in claims settlement
• Asymptotic behaviour of Wiener-Hopf factors of a random walk
• Asymptotic ruin probabilities for risk processes with dependent increments.
• Explosive Poisson shot noise processes with applications to risk reserves
• 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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