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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

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    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. 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.
    3. 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.
    4. Norberg, Ragnar, 1993. "Prediction of Outstanding Liabilities in Non-Life Insurance1," ASTIN Bulletin, Cambridge University Press, vol. 23(1), pages 95-115, May.
    5. Arjas, Elja, 1989. "The Claims Reserving Problem in Non-Life Insurance: Some Structural Ideas," ASTIN Bulletin, Cambridge University Press, vol. 19(2), pages 139-152, November.
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    Cited by:

    1. Lingjiong Zhu, 2023. "A delayed dual risk model," Papers 2301.06450, arXiv.org.
    2. 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.
    3. 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.
    4. 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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