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Article: On ultimate ruin in a delayed-claims risk model

TitleOn ultimate ruin in a delayed-claims risk model
Authors
Yuen, KCGuo, JNg, KW
KeywordsBrownian motion
By-claim
Lundberg exponent
Main claim
Martingale
Ultimate ruin probability
Weak convergence
Issue Date2005
PublisherApplied Probability Trust. The Journal's web site is located at http://www.shef.ac.uk/uni/companies/apt/ap.html
Citation
Journal Of Applied Probability, 2005, v. 42 n. 1, p. 163-174 How to Cite?
DOI: http://dx.doi.org/10.1239/jap/1110381378
AbstractIn 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. © Applied Probability Trust 2005.
Persistent Identifierhttp://hdl.handle.net/10722/82870
ISSN
0021-9002
2023 Impact Factor: 0.7
2023 SCImago Journal Rankings: 0.551
ISI Accession Number ID
WOS:000228147800013
References
References in Scopus

 

DC FieldValueLanguage
dc.contributor.authorYuen, KCen_HK
dc.contributor.authorGuo, Jen_HK
dc.contributor.authorNg, KWen_HK
dc.date.accessioned2010-09-06T08:34:21Z-
dc.date.available2010-09-06T08:34:21Z-
dc.date.issued2005en_HK
dc.identifier.citationJournal Of Applied Probability, 2005, v. 42 n. 1, p. 163-174en_HK
dc.identifier.issn0021-9002en_HK
dc.identifier.urihttp://hdl.handle.net/10722/82870-
dc.description.abstractIn 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. © Applied Probability Trust 2005.en_HK
dc.languageengen_HK
dc.publisherApplied Probability Trust. The Journal's web site is located at http://www.shef.ac.uk/uni/companies/apt/ap.htmlen_HK
dc.relation.ispartofJournal of Applied Probabilityen_HK
dc.subjectBrownian motionen_HK
dc.subjectBy-claimen_HK
dc.subjectLundberg exponenten_HK
dc.subjectMain claimen_HK
dc.subjectMartingaleen_HK
dc.subjectUltimate ruin probabilityen_HK
dc.subjectWeak convergenceen_HK
dc.titleOn ultimate ruin in a delayed-claims risk modelen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0021-9002&volume=42&issue=1&spage=163&epage=174&date=2005&atitle=On+ultimate+ruin+in+a+delayed-claims+risk+modelen_HK
dc.identifier.emailYuen, KC: kcyuen@hku.hken_HK
dc.identifier.emailNg, KW: kaing@hkucc.hku.hken_HK
dc.identifier.authorityYuen, KC=rp00836en_HK
dc.identifier.authorityNg, KW=rp00765en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1239/jap/1110381378en_HK
dc.identifier.scopuseid_2-s2.0-18444376777en_HK
dc.identifier.hkuros98543en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-18444376777&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume42en_HK
dc.identifier.issue1en_HK
dc.identifier.spage163en_HK
dc.identifier.epage174en_HK
dc.identifier.isiWOS:000228147800013-
dc.publisher.placeUnited Kingdomen_HK
dc.identifier.scopusauthoridYuen, KC=7202333703en_HK
dc.identifier.scopusauthoridGuo, J=7404490037en_HK
dc.identifier.scopusauthoridNg, KW=7403178774en_HK
dc.identifier.issnl0021-9002-

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