On ultimate ruin in a delayed-claims risk model
Kam C. Yuen, Junyi Guo, and Kai W. Ng
Source: J. Appl. Probab. Volume 42, Number 1
(2005), 163-174.
Abstract
In this paper, we consider a risk model in which each main claim
induces a delayed claim called a by-claim. The time of delay for
the occurrence of a by-claim is assumed to be exponentially
distributed. From martingale theory, an expression for the
ultimate ruin probability can be derived using the Lundberg
exponent of the associated nondelayed risk model. It can be shown
that the Lundberg exponent of the proposed risk model is the same
as that of the nondelayed one. Brownian motion approximations for
ruin probabilities are also discussed.
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Links and Identifiers
Permanent link to this document: http://projecteuclid.org/euclid.jap/1110381378
Digital Object Identifier: doi:10.1239/jap/1110381378
Mathematical Reviews number (MathSciNet): MR2144901
Zentralblatt MATH identifier: 1074.60089
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