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- Title
A RISK MODEL WITH DELAYED CLAIMS.
- Authors
DASSIOS, ANGELOS; HONGBIAO ZHAO
- 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.
- Subjects
POISSON processes; PROBABILITY theory; MATHEMATICAL formulas; DISTRIBUTION (Probability theory); EXPONENTIAL functions; MATHEMATICAL analysis; NUMERICAL analysis
- Publication
Journal of Applied Probability, 2013, Vol 50, Issue 3, p686
- ISSN
0021-9002
- Publication type
Article
- DOI
10.1239/jap/1378401230