On ultimate ruin in a delayed-claims risk model
On ultimate ruin in a delayed-claims risk model
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DOI：
10.1239/jap/1110381378
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发表时间：
2005-03
影响因子：
1
通讯作者：
K. Yuen;Junyi Guo;K. Ng
中科院分区：
文献类型：
--
作者：
K. Yuen;Junyi Guo;K. Ng
在本文中，我们考虑一个风险模型，其中每个主索赔导致一个延迟索赔称为副索赔。假设索赔发生的延迟时间服从指数分布。从鞅理论出发，利用相应的非时滞风险模型的Lundberg指数，可以得到最终破产概率的表达式。结果表明，所提出的风险模型的Lundberg指数与无时滞风险模型的Lundberg指数相同。破产概率的布朗运动近似也进行了讨论。
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.