Search results for "Ruin theory"

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Delay in claim settlement and ruin probability approximations

1995

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.

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 economicsMathematicsScandinavian Actuarial Journal

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