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September 2013 A risk model with delayed claims
Angelos Dassios, Hongbiao Zhao
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J. Appl. Probab. 50(3): 686-702 (September 2013). DOI: 10.1239/jap/1378401230

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.

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Angelos Dassios. Hongbiao Zhao. "A risk model with delayed claims." J. Appl. Probab. 50 (3) 686 - 702, September 2013. https://doi.org/10.1239/jap/1378401230

Information

Published: September 2013
First available in Project Euclid: 5 September 2013

zbMATH: 1278.91084
MathSciNet: MR3102509
Digital Object Identifier: 10.1239/jap/1378401230

Subjects:
Primary: 91B30
Secondary: 60F05, 60G55

Rights: Copyright © 2013 Applied Probability Trust

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Vol.50 • No. 3 • September 2013
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