Skip to main content Accessibility help

We use cookies to distinguish you from other users and to provide you with a better experience on our websites. Close this message to accept cookies or find out how to manage your cookie settings.

Close cookie message
×
  1. Home
  2. Search

Refine search

Refine search

Access:
Content type:
Publication date:
Apply   From and To filters
Subject: Show more
Journals Show more
Publishers: Show more
Societies Show more
Series: Show more
Collections: Show more

Actions for selected content:

Select all | Deselect all
  • View selected items
  • Export citations
  • Download PDF (zip)
  • Save to Kindle
  • Save to Dropbox
  • Save to Google Drive

Save Search

You can save your searches here and later view and run them again in "My saved searches".

Please provide a title, maximum of 40 characters.
Cancel
×

1 results

  • On Ultimate Ruin in a Delayed-Claims Risk Model

  • Part of
  • Kam C. Yuen, Junyi Guo, Kai W. Ng
  • Journal:
    Journal of Applied Probability / Volume 42 / Issue 1 / March 2005
    Published online by Cambridge University Press:
    14 July 2016, pp. 163-174
    Print publication:
    March 2005
    • Article
      • You have access
    • PDF
    • Export citation

  • In this paper, we consider a risk model in which each main claim induces a delayed claim called a by-claim. The time of delay for the occurrence of a by-claim is assumed to be exponentially distributed. From martingale theory, an expression for the ultimate ruin probability can be derived using the Lundberg exponent of the associated nondelayed risk model. It can be shown that the Lundberg exponent of the proposed risk model is the same as that of the nondelayed one. Brownian motion approximations for ruin probabilities are also discussed.