Scandinavian Actuarial Journal · 1995 · 50 citations · 17 references
BusinessFinanceRisk ManagementFinancial EconomicsProbability TheoryStochastic ProcessesClaims ModelingClaims SettlementInsurance RiskOption PricingPortfolio TheoryRisk TheoryClaim Settlement BehaviorClaim TimingCompound Poisson ModelsLoss Distribution TheoryPoisson Claim ModelsProbability Of RuinRisk Theory ModelsStochastic Pricing Models
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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Convergence of Stochastic Processes.
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