We consider risk processes with delayed claims in a Markovian environment, and we study the asymptotic behaviour of finite and infinite horizon ruin probabilities under the small claim assumption. We also consider multivariate risk processes of the same kind, and we give upper and lower bounds for the Lundberg parameters of the corresponding total reserve. Our results have strong analogies with those one in the paper by Juri (Super modular order and Lundberg exponents, 2002).

Lundberg parameters for non standard risk processes / Claudio, Macci; Stabile, Gabriele; G. L., Torrisi. - In: SCANDINAVIAN ACTUARIAL JOURNAL. - ISSN 0346-1238. - STAMPA. - 2005:6(2005), pp. 417-432. [10.1080/03461230500363048]

Lundberg parameters for non standard risk processes

STABILE, Gabriele;
2005

Abstract

We consider risk processes with delayed claims in a Markovian environment, and we study the asymptotic behaviour of finite and infinite horizon ruin probabilities under the small claim assumption. We also consider multivariate risk processes of the same kind, and we give upper and lower bounds for the Lundberg parameters of the corresponding total reserve. Our results have strong analogies with those one in the paper by Juri (Super modular order and Lundberg exponents, 2002).
2005
Shot noise process; Markov modulated process; Large deviations; Lundberg parameter; Supermodular orde
01 Pubblicazione su rivista::01a Articolo in rivista
Lundberg parameters for non standard risk processes / Claudio, Macci; Stabile, Gabriele; G. L., Torrisi. - In: SCANDINAVIAN ACTUARIAL JOURNAL. - ISSN 0346-1238. - STAMPA. - 2005:6(2005), pp. 417-432. [10.1080/03461230500363048]
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11573/132454
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