Abstract
We introduce a general risk model for portfolios with delayed claims which is a natural extension of the classical Poisson model. We investigate ruin problems for different premium principles and provide approximations for the ruin probability. We conclude with some specific models, for example, for IBNR portfolios and portfolios where the pay-off process depends on the claim size.
| Original language | English |
|---|---|
| Pages (from-to) | 154-168 |
| Number of pages | 15 |
| Journal | Scandinavian Actuarial Journal |
| Volume | 1995 |
| Issue number | 2 |
| DOIs | |
| State | Published - 1 Jul 1995 |
| Externally published | Yes |
Keywords
- IBNR claims
- risk reserves
- ruin probability
- shot-noise process