Ruin problems under IBNR Dynamics

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Serval ID
serval:BIB_FF8477DB3369
Type
Article: article from journal or magazin.
Collection
Publications
Institution
Title
Ruin problems under IBNR Dynamics
Journal
Applied Stochastic Models in Business and Industry
Author(s)
Trufin J., Albrecher H., Denuit M.
ISSN
1526-4025
Publication state
Published
Issued date
2011
Peer-reviewed
Oui
Volume
27
Number
6
Pages
619-632
Language
english
Abstract
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.
Keywords
Discrete-time risk process, Convex order, IBNR claims, Large deviations, Martingale, Ultimate ruin probability
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31/08/2009 13:34
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20/08/2019 17:29
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