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.
|Number of pages||10|
|Journal||Insurance: Mathematics and Economics|
|Publication status||Published - Apr 1985|
- Outstanding claims reserves
- Probability of ruin
- Run-off triangles