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Asymptotic results for perturbed risk processes with delayed claims

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  • Macci, Claudio
  • Torrisi, Giovanni Luca

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  • Macci, Claudio & Torrisi, Giovanni Luca, 2004. "Asymptotic results for perturbed risk processes with delayed claims," Insurance: Mathematics and Economics, Elsevier, vol. 34(2), pages 307-320, April.
    • Handle: RePEc:eee:insuma:v:34:y:2004:i:2:p:307-320
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    References listed on IDEAS

    as
    1. Baldi, Paolo & Piccioni, Mauro, 1999. "A representation formula for the large deviation rate function for the empirical law of a continuous time Markov chain," Statistics & Probability Letters, Elsevier, vol. 41(2), pages 107-115, January.
    2. Dufresne, Francois & Gerber, Hans U., 1991. "Risk theory for the compound Poisson process that is perturbed by diffusion," Insurance: Mathematics and Economics, Elsevier, vol. 10(1), pages 51-59, March.
    3. repec:cup:astinb:v:23:y:1993:i:01:p:95-115_00 is not listed on IDEAS
    4. Waters, Howard R. & Papatriandafylou, Alex, 1985. "Ruin probabilities allowing for delay in claims settlement," Insurance: Mathematics and Economics, Elsevier, vol. 4(2), pages 113-122, April.
    5. repec:cup:astinb:v:19:y:1989:i:02:p:139-152_00 is not listed on IDEAS
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    Cited by:

    1. Anugu, Sumith Reddy & Pang, Guodong, 2024. "Sample path moderate deviations for shot noise processes in the high intensity regime," Stochastic Processes and their Applications, Elsevier, vol. 176(C).
    2. Lingjiong Zhu, 2023. "A delayed dual risk model," Papers 2301.06450, arXiv.org.
    3. Ahn, Soohan & Badescu, Andrei L. & Cheung, Eric C.K. & Kim, Jeong-Rae, 2018. "An IBNR–RBNS insurance risk model with marked Poisson arrivals," Insurance: Mathematics and Economics, Elsevier, vol. 79(C), pages 26-42.
    4. Torrisi, Giovanni Luca & Leonardi, Emilio, 2022. "Asymptotic analysis of Poisson shot noise processes, and applications," Stochastic Processes and their Applications, Elsevier, vol. 144(C), pages 229-270.
    5. Stabile, Gabriele & Torrisi, Giovanni Luca, 2010. "Large deviations of Poisson shot noise processes under heavy tail semi-exponential conditions," Statistics & Probability Letters, Elsevier, vol. 80(15-16), pages 1200-1209, August.

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