Delay in claim settlement and ruin probability approximations

Claudia Klüppelberg · Thomas Mikosch

47 citations0/0 files storedScandinavian Actuarial Journal

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Probability and Risk Models Insurance and Financial Risk Management Probability and Statistical Research

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.

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References

1991Aspects of Risk Theory 1969Diffusion approximations in collective risk theory 1993Prediction of Outstanding Liabilities in Non-Life Insurance 1995Explosive Poisson Shot Noise Processes with Applications to Risk Reserves 1989The Claims Reserving Problem in Non-Life Insurance: Some Structural Ideas 1986A contribution to modelling of IBNR claims

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