Ruin problems under IBNR Dynamics
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Download: BIB_FF8477DB3369.P001.pdf (229.05 [Ko])
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Version: author
State: Public
Version: author
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
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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Create date
31/08/2009 13:34
Last modification date
20/08/2019 17:29