Ruin probabilities allowing for delay in claims settlement

Howard R. Waters, Alex Papatriandafylou

Research output: Contribution to journalArticlepeer-review

39 Citations (Scopus)

Abstract

In this paper we use martingale techniques to derive upper bounds for the probability of ruin for a risk process. The important difference between our results and previous results in this area is that our model for the risk process explicitly allows for delay in claims settlement. © 1985.

Original languageEnglish
Pages (from-to)113-122
Number of pages10
JournalInsurance: Mathematics and Economics
Volume4
Issue number2
Publication statusPublished - Apr 1985

Keywords

  • Martingales
  • Outstanding claims reserves
  • Probability of ruin
  • Run-off triangles

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