Dassios, Angelos 
ORCID: 0000-0002-3968-2366 and Zhao, Hongbiao
(2013)
A risk model with delayed claims.
Journal of Applied Probability, 50 (3).
pp. 686-702.
ISSN 0021-9002
Abstract
In this paper we introduce a simple risk model with delayed claims, an extension of the classical Poisson model. The claims are assumed to arrive according to a Poisson process and claims follow a light-tailed distribution, and each loss payment of the claims will be settled with a random period of delay. We obtain asymptotic expressions for the ruin probability by exploiting a connection to Poisson models that are not time homogeneous. A finer asymptotic formula is obtained for the special case of exponentially delayed claims and an exact formula is obtained when the claims are also exponentially distributed.
| Item Type: | Article |
|---|---|
| Official URL: | http://projecteuclid.org/DPubS?service=UI&version=... |
| Additional Information: | © 2013 Applied Probability Trust |
| Divisions: | Statistics |
| Subjects: | Q Science > QA Mathematics |
| Date Deposited: | 12 Aug 2013 10:38 |
| Last Modified: | 14 Sep 2024 05:49 |
| URI: | http://eprints.lse.ac.uk/id/eprint/49671 |
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