A class of risk processes with delayed claims: ruin probability estimates under heavy tail conditions

DOI10.1239/jap/1165505197zbMath1142.91581OpenAlexW1974043471MaRDI QIDQ5441512

Ayalvadi J. Ganesh, Giovanni Luca Torrisi

Publication date: 15 February 2008

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1165505197

Mathematics Subject Classification ID

Related Items (13)

Tail behavior of Poisson shot noise processes under heavy-tailed shocks and actuarial applications ⋮ Sample path large deviations for the multiplicative Poisson shot noise process with compensation ⋮ Functional limit theorems for a new class of non-stationary shot noise processes ⋮ Modeling LEAST RECENTLY USED caches with Shot Noise request processes ⋮ Functional Limit Theorems for Shot Noise Processes with Weakly Dependent Noises ⋮ Unnamed Item ⋮ Moderate deviations for a risk model based on the customer-arrival process ⋮ An IBNR-RBNS insurance risk model with marked Poisson arrivals ⋮ Risk processes with non-stationary Hawkes claims arrivals ⋮ Large deviations of Poisson shot noise processes under heavy tail semi-exponential conditions ⋮ Sample Path Large Deviations of Poisson Shot Noise with Heavy-Tailed Semiexponential Distributions ⋮ Asymptotic analysis of Poisson shot noise processes, and applications ⋮ Ruin problems under IBNR dynamics

Cites Work

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• Delay in claim settlement and ruin probability approximations
• On Ultimate Ruin in a Delayed-Claims Risk Model
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