Large deviations for risk models in which each main claim induces a delayed claim

DOI10.1080/17442500600724941zbMath1097.60009OpenAlexW2088575478MaRDI QIDQ5485916

Claudio Macci

Publication date: 4 September 2006

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2108/39277

zbMATH Keywords

large deviationsrisk modelMarkov modulationruin probabilitiesLundberg's estimate

Mathematics Subject Classification ID

Large deviations (60F10)

Related Items (5)

On the Gerber-Shiu discounted penalty function in a risk model with delayed claims ⋮ Sample path large and moderate deviations for risk model with delayed claims ⋮ An IBNR-RBNS insurance risk model with marked Poisson arrivals ⋮ Large deviations for the time-integrated negative parts of some processes ⋮ On the probability of ruin in the compound Poisson risk model with potentially delayed claims

Cites Work

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• Sample path large deviations principles for Poisson shot noise processes, and applications
• Asymptotic results for perturbed risk processes with delayed claims
• Large deviations for vector-valued Lévy processes
• An insensitivity property of Lundberg's estimate for delayed claims
• Large deviations and overflow probabilities for the general single-server queue, with applications
• On Ultimate Ruin in a Delayed-Claims Risk Model
• Lundberg parameters for non standard risk processes
• Boundary-Value Problems for Random Walks and Large Deviations in Function Spaces

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