Ruin problems under IBNR Dynamics

Détails

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Etat: Public
Version: de l'auteur
ID Serval
serval:BIB_FF8477DB3369
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Institution
Titre
Ruin problems under IBNR Dynamics
Périodique
Applied Stochastic Models in Business and Industry
Auteur(s)
Trufin J., Albrecher H., Denuit M.
ISSN
1526-4025
Statut éditorial
Publié
Date de publication
2011
Peer-reviewed
Oui
Volume
27
Numéro
6
Pages
619-632
Langue
anglais
Résumé
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.
Mots-clé
Discrete-time risk process, Convex order, IBNR claims, Large deviations, Martingale, Ultimate ruin probability
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Création de la notice
31/08/2009 12:34
Dernière modification de la notice
20/08/2019 16:29
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