Ruin problems under IBNR Dynamics
| Data(s) |
2011
|
|---|---|
| Identificador |
https://serval.unil.ch/notice/serval:BIB_FF8477DB3369 https://serval.unil.ch/resource/serval:BIB_FF8477DB3369.P001/REF http://nbn-resolving.org/urn/resolver.pl?urn=urn:nbn:ch:serval-BIB_FF8477DB33695 urn:nbn:ch:serval-BIB_FF8477DB33695 |
| Idioma(s) |
eng |
| Direitos |
info:eu-repo/semantics/openAccess Copying allowed only for non-profit organizations https://serval.unil.ch/disclaimer |
| Fonte |
Applied Stochastic Models in Business and Industry276619-632 |
| Tipo |
info:eu-repo/semantics/article article |
| Resumo |
In this paper, we consider a discrete-time risk process allowing for delay in claim settlement, which introduces a certain type of dependence in the process. From martingale theory, an expression for the ultimate ruin probability is obtained, and Lundberg-type inequalities are derived. The impact of delay in claim settlement is then investigated. To this end, a convex order comparison of the aggregate claim amounts is performed with the corresponding non-delayed risk model, and numerical simulations are carried out with Belgian market data. |
| Formato |
application/pdf |
| Palavras-Chave | #Discrete-time risk process; Convex order; IBNR claims; Large deviations; Martingale; Ultimate ruin probability |
