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 innite horizon ruin probabilities.
Risk processes with delayed claims for heavy tailed distributions / Stabile, Gabriele; G. L., Torrisi. - ELETTRONICO. - (2008), pp. 199-202. (Intervento presentato al convegno Methods, Models and Information Technologies for Decision Support Systems - 2008 tenutosi a LECCE nel 18-20 SETTEMBRE 2008).
Risk processes with delayed claims for heavy tailed distributions
STABILE, Gabriele;
2008
Abstract
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 innite horizon ruin probabilities.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
