On Ultimate Ruin in a Delayed-Claims Risk Model
From MaRDI portal
Publication:5312848
DOI10.1239/jap/1110381378zbMath1074.60089OpenAlexW2167667440MaRDI QIDQ5312848
Kai Wang Ng, Jun-Yi Guo, Kam-Chuen Yuen
Publication date: 25 August 2005
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1239/jap/1110381378
weak convergenceBrownian motionmartingaleby-claimultimate ruin probabilitymain claimLundberg exponent
Related Items (43)
Asymptotic ruin probability of a renewal risk model with dependent by-claims and stochastic returns ⋮ A consistent estimation of optimal dividend strategy in a risk model with delayed claims ⋮ On pairwise quasi-asymptotically independent random variables and their applications ⋮ Ruin probabilities in Cox risk models with two dependent classes of business ⋮ Asymptotic ruin probability for a by-claim risk model with pTQAI claims and constant interest force ⋮ Asymptotic behavior of ruin probabilities in an insurance risk model with quasi-asymptotically independent or bivariate regularly varying-tailed main claim and by-claim ⋮ Tail behavior of Poisson shot noise processes under heavy-tailed shocks and actuarial applications ⋮ Hawkes processes in insurance: risk model, application to empirical data and optimal investment ⋮ Asymptotic ruin probabilities for a bidimensional renewal risk model ⋮ Asymptotics for a time-dependent by-claim model with dependent subexponential claims ⋮ A Kesten-type inequality for randomly weighted sums of dependent subexponential random variables with applications to risk theory* ⋮ Asymptotics for a delay-claim risk model with diffusion, dependence structures and constant force of interest ⋮ Asymptotics for a bidimensional renewal risk model with subexponential main claims and delayed claims ⋮ Asymptotic finite-time ruin probabilities for a bidimensional delay-claim risk model with subexponential claims ⋮ Asymptotics for a diffusion-perturbed risk model with dependence structures, constant interest force, and a random number of delayed claims ⋮ Asymptotic ruin probabilities for a renewal risk model with a random number of delayed claims ⋮ A delayed dual risk model ⋮ On the Gerber-Shiu discounted penalty function in a risk model with delayed claims ⋮ A Risk Process with Delayed Claims and Constant Dividend Barrier ⋮ Sample path large and moderate deviations for risk model with delayed claims ⋮ Expected present value of total dividends in a delayed claims risk model under stochastic interest rates ⋮ On a perturbed by diffusion compound Poisson risk model with delayed claims and multi-layer dividend strategy ⋮ Optimal dividend strategies in a delayed claim risk model with dividends discounted by stochastic interest rates ⋮ An IBNR-RBNS insurance risk model with marked Poisson arrivals ⋮ On the expected discounted penalty function in a delayed-claims risk model ⋮ Asymptotics for a time-dependent renewal risk model with subexponential main claims and delayed claims ⋮ On the Gerber-Shiu discounted penalty function in a risk model with two types of delayed-claims and random income ⋮ Estimates for the ruin probability of a time-dependent renewal risk model with dependent by-claims ⋮ On a compound Poisson risk model with delayed claims and random incomes ⋮ Risk processes with shot noise Cox claim number process and reserve dependent premium rate ⋮ A class of risk processes with delayed claims: ruin probability estimates under heavy tail conditions ⋮ On a Risk Model With Delayed Claims Under Stochastic Interest Rates ⋮ The compound binomial risk model with time-correlated claims ⋮ On a discrete risk model with delayed claims and a randomized dividend strategy ⋮ On the probability of ruin in the compound Poisson risk model with potentially delayed claims ⋮ Uniform asymptotics for a delay-claims risk model with constant force of interest and by-claims arriving according to a counting process ⋮ On the probability of ruin in a continuous risk model with two types of delayed claims ⋮ Large deviations for risk models in which each main claim induces a delayed claim ⋮ On asymptotic finite-time ruin probability of a renewal risk model with subexponential main claims and delayed claims ⋮ Asymptotics for ultimate ruin probability in a by-claim risk model ⋮ A Risk Model with Delayed Claims ⋮ Ruin problems under IBNR dynamics ⋮ Finite-time ruin probability of a perturbed risk model with dependent main and delayed claims
Cites Work
- Unnamed Item
- Delay in claim settlement
- Ruin probabilities allowing for delay in claims settlement
- Ruin probabilities for time-correlated claims in the compound binomial model.
- A class of approximations of ruin probabilities
- A remark on ‘A class of approximations of ruin probabilities’
- An insensitivity property of Lundberg's estimate for delayed claims
- Large deviations and overflow probabilities for the general single-server queue, with applications
- Diffusion approximations in collective risk theory
This page was built for publication: On Ultimate Ruin in a Delayed-Claims Risk Model
