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A class of risk processes with delayed claims: ruin probability estimates under heavy tail conditions

Part of: Stochastic processes Mathematical economics

Published online by Cambridge University Press:  14 July 2016

Ayalvadi Ganesh  and
Giovanni Luca Torrisi
Ayalvadi Ganesh*
Affiliation:
Microsoft Research
Giovanni Luca Torrisi*
Affiliation:
Istituto per le Applicazioni del Calcolo, Roma
*
∗Postal address: Microsoft Research, 7 J J Thomson Avenue, Cambridge CB3 0FB, UK. Email address: [email protected]
∗∗Postal address: Istituto per le Applicazioni del Calcolo ‘M. Picone’ (IAC-CNR), Viale del Policlinico 137, 00161 Roma, Italia. Email address: [email protected]
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Abstract

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We consider a class of risk processes with delayed claims, and we provide ruin probability estimates under heavy tail conditions on the claim size distribution.

Keywords

Extreme value theoryPoisson processregular variationrenewal processruin probabilityshot noise processsubexponential distribution

MSC classification

Primary: 91B30: Risk theory, insurance 60G55: Point processes
Type
Research Papers
Information
Journal of Applied Probability , Volume 43 , Issue 4 , December 2006 , pp. 916 - 926
Copyright
© Applied Probability Trust 2006 

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