Risk processes with delayed claims for heavy tailed distributions
Abstract
En
We study the ruin problem for a non-life insurance company, whose risk process has the following features: claims are not immediately settled, heavy tailed claims distributions. We prove a large deviation principle for the total claim amount process, and then we provide an asymptotic estimates for the logarithm of the in nite horizon ruin probabilities.
We study the ruin problem for a non-life insurance company, whose risk process has the following features: claims are not immediately settled, heavy tailed claims distributions. We prove a large deviation principle for the total claim amount process, and then we provide an asymptotic estimates for the logarithm of the in nite horizon ruin probabilities.
DOI Code:
�
Keywords:
Ruin probabilities; Shot noise process; Semiexponential distributions; Large deviations
Full Text: PDF
