A Class of Risk Processes with Delayed Claims: Ruin Probability Estimates under Heavy Tail Conditions
نویسندگان
چکیده
We consider a class of risk processes with delayed claims, andwe provide ruin probability estimates under heavy tail conditions on the claim size distribution.
منابع مشابه
A class of risk processes with delayed claims: ruin probabilities estimates under heavy-tailed conditions
We consider a class of risk processes with delayed claims, and we provide ruin probabilities estimates under heavy-tailed conditions on the claim size distribution.
متن کاملA Note on the Ruin Probability in the Delayed Renewal Risk Model
Veraverbeke (1977, Stochastic Processes Appl. 5, no. 1, 27–37) and Embrechts and Veraverbeke (1982, Insurance Math. Econom. 1, no. 1, 55–72) obtained a simple asymptotic relation for the ruin probability in the renewal risk model under the assumption that the claim size is heavy tailed. This note points out that the relation still holds in the delayed renewal risk model.
متن کاملRuin Probabilities and Aggregrate Claims Distributions for Shot Noise Cox Processes
We consider a risk process Rt where the claim arrival process is a superposition of a homogeneous Poisson process and a Cox process with a Poisson shot noise intensity process, capturing the effect of sudden increases of the claim intensity due to external events. The distribution of the aggregate claim size is investigated under these assumptions. For both light-tailed and heavy-tailed claim s...
متن کاملPrecise Estimates for the Ruin Probability in Finite Horizon in a Discrete-time Model with Heavy-tailed Insurance and Financial Risks
This paper investigates the probability of ruin within finite horizon for a discrete time risk model, in which the reserve of an insurance business is currently invested in a risky asset. Under assumption that the risks are heavy tailed, some precise estimates for the finite time ruin probability are derived, which confirm a folklore that the ruin probability is mainly determined by whichever o...
متن کاملSimulating Ruin Probabilities in Insurance Risk Processes with Subexponential Claims
We describe a fast simulation framework for simulating small ruin probabilities in insurance risk processes with subexponential claims. Naive simulation is inefficient since the event of interest is rare, and special simulation techniques like importance sampling need to be used. An importance sampling change of measure known as sub-exponential twisting has been found useful for some rare event...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
دوره شماره
صفحات -
تاریخ انتشار 2006