Simulating the ruin probability of risk processes with delay in claim settlement (original) (raw)
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Risk processes with delayed claims for heavy tailed distributions
MTISD 2008. Methods, Models and …, 2008
We study the ruin problem for a non-life insurance company, whose risk process has the following features: claims are not immediately settled, heavy tailed claims distributions. We prove a large deviation principle for the total claim amount process, and then we provide an asymptotic estimates for the logarithm of the infinite horizon ruin probabilities.
2011
In this paper, we introduce a simple risk model with delayed claims, an extension of the classical Poisson model. The arrival of claims is assumed to be a Poisson process, and each loss payment of the claims will be settled with a random period of delay. We obtain the asymptotic expressions for the ruin probability, and exploit a connection to the Poisson models that are not time-homogeneous. In particular, the exact ruin probability can be derived for the special case with exponentially delayed claims and exponentially ...