A Risk Model with Delayed Claims
2013 ◽
Vol 50
(3)
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pp. 686-702
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Keyword(s):
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.
2013 ◽
Vol 50
(03)
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pp. 686-702
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Keyword(s):
2004 ◽
Vol 18
(1)
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pp. 55-70
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Keyword(s):
2004 ◽
Vol 2004
(3)
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pp. 221-234
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Keyword(s):
2016 ◽
Vol 442
(1)
◽
pp. 17-30
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2012 ◽
Vol 2012
◽
pp. 1-26
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2021 ◽
Vol 37
(4)
◽
pp. 847-857
2013 ◽
Vol 2015
(4)
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pp. 301-318
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Keyword(s):