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1 results

  • A Risk Model with Delayed Claims

  • Part of
  • Angelos Dassios, Hongbiao Zhao
  • Journal:
    Journal of Applied Probability / Volume 50 / Issue 3 / September 2013
    Published online by Cambridge University Press:
    30 January 2018, pp. 686-702
    Print publication:
    September 2013
    • Article
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  • 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.