A risk model with delayed claims.

• Autores: Angelos Dassios, Zhao Hongbiao
• Localización: Journal of Applied Probability, ISSN-e 0021-9002, Vol. 50, Nº. 3, 2013, págs. 686-702
• Idioma: inglés
• DOI: 10.1239/jap/1378401230
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• Resumen

  • In this paper we introduce a simple risk model with delayed claims, an extension of the classical Poisson model. The claims are assumed to arrive according to a Poisson process and claims follow a light-tailed distribution, and each loss payment of the claims will be settled with a random period of delay. We obtain asymptotic expressions for the ruin probability by exploiting a connection to Poisson models that are not time homogeneous. A finer asymptotic formula is obtained for the special case of exponentially delayed claims and an exact formula is obtained when the claims are also exponentially distributed.