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A risk model with delayed claims

Dassios, Angelos and Zhao, Hongbiao (2013) A risk model with delayed claims. Journal of Applied Probability, 50 (3). pp. 686-702. ISSN 0021-9002

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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
Library of Congress subject classification: Q Science > QA Mathematics
Sets: Departments > Statistics
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Date Deposited: 12 Aug 2013 10:38
URL: http://eprints.lse.ac.uk/49671/

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