User menu

Ruin problems under IBNR dynamics

Bibliographic reference Trufin, Julien ; Albrecher, Hansjörg ; Denuit, Michel. Ruin problems under IBNR dynamics. In: Applied Stochastic Models in Business and Industry, Vol. 27, no.6, p. 619-632 (2011)
Permanent URL http://hdl.handle.net/2078.1/125279
  1. Yang, Scandinavian Actuarial Journal, 66 (1998)
  2. Kaas Rob, Goovaerts Marc, Dhaene Jan, Denuit Michel, Modern Actuarial Risk Theory, ISBN:9783540709923, 10.1007/978-3-540-70998-5
  3. Denuit M., Dhaene J., Goovaerts M., Kaas R., Actuarial Theory for Dependent Risks : Measures, Orders and Models, ISBN:9780470016459, 10.1002/0470016450
  4. Embrechts Paul, Klüppelberg Claudia, Mikosch Thomas, Modelling Extremal Events, ISBN:9783642082429, 10.1007/978-3-642-33483-2
  5. Veraverbeke N., Asymptotic behaviour of Wiener-Hopf factors of a random walk, 10.1016/0304-4149(77)90047-3
  6. Müller Alfred, Pflug Georg, Asymptotic ruin probabilities for risk processes with dependent increments, 10.1016/s0167-6687(01)00063-4
  7. Nyrhinen Harri, Rough descriptions of ruin for a general class of surplus processes, 10.1239/aap/1035228205
  8. Glynn Peter W., Whitt Ward, Logarithmic Asymptotics for Steady-State Tail Probabilities in a Single-Server Queue, 10.2307/3214953
  9. Gerber Hans U., Ruin theory in the linear model, 10.1016/0167-6687(82)90011-7
  10. Yuen Kam C., Guo Junyi, Ng Kai W., On ultimate ruin in a delayed-claims risk model, 10.1239/jap/1110381378
  11. Ganesh A., Macci C., Torrisi G. L., A class of risk processes with reserve-dependent premium rate: sample path large deviations and importance sampling, 10.1007/s11134-006-9000-y
  12. Ganesh Ayalvadi, Torrisi Giovanni Luca, A class of risk processes with delayed claims: ruin probability estimates under heavy tail conditions, 10.1239/jap/1165505197
  13. Macci Claudio, Stabile Gabriele, Luca Torrisi Giovanni, Lundberg parameters for non standard risk processes, 10.1080/03461230500363048
  14. Macci Claudio, Torrisi Giovanni Luca, Asymptotic results for perturbed risk processes with delayed claims, 10.1016/j.insmatheco.2004.01.003
  15. Brémaud Pierre, An insensitivity property of Lundberg's estimate for delayed claims, 10.1239/jap/1014842846
  16. Klüppelberg Claudia, Mikosch Thomas, Kluppelberg Claudia, Explosive Poisson Shot Noise Processes with Applications to Risk Reserves, 10.2307/3318683
  17. Boogaert P., Haezendonck J., Delay in claim settlement, 10.1016/0167-6687(89)90008-5
  18. Waters Howard R., Papatriandafylou Alex, Ruin probabilities allowing for delay in claims settlement, 10.1016/0167-6687(85)90005-8