Ruin problems under IBNR dynamics

Julien Trufin, Hansjörg Albrecher and Michel Denuit

Applied Stochastic Models in Business and Industry, 2011, vol. 27, issue 6, 619-632

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. Copyright © 2011 John Wiley & Sons, Ltd.

Date: 2011
References: Add references at CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
https://doi.org/10.1002/asmb.875

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wly:apsmbi:v:27:y:2011:i:6:p:619-632

Access Statistics for this article

More articles in Applied Stochastic Models in Business and Industry from John Wiley & Sons
Bibliographic data for series maintained by Wiley Content Delivery ().