6533b827fe1ef96bd1286db9
RESEARCH PRODUCT
Delay in claim settlement and ruin probability approximations
Claudia KlüppelbergThomas Mikoschsubject
Statistics and ProbabilityEconomics and EconometricsActuarial scienceMathematics::Optimization and ControlExtension (predicate logic)Ruin theorysymbols.namesakeRisk modelComputer Science::Computational Engineering Finance and SciencesymbolsPoisson regressionStatistics Probability and UncertaintySettlement (litigation)Mathematical economicsMathematicsdescription
We introduce a general risk model for portfolios with delayed claims which is a natural extension of the classical Poisson model. We investigate ruin problems for different premium principles and provide approximations for the ruin probability. We conclude with some specific models, for example, for IBNR portfolios and portfolios where the pay-off process depends on the claim size.
| year | journal | country | edition | language |
|---|---|---|---|---|
| 1995-07-01 | Scandinavian Actuarial Journal |