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 language | English |
|---|---|
| Pages (from-to) | 113-122 |
| Number of pages | 10 |
| Journal | Insurance: Mathematics and Economics |
| Volume | 4 |
| Issue number | 2 |
| Publication status | Published - Apr 1985 |
Keywords
- Martingales
- Outstanding claims reserves
- Probability of ruin
- Run-off triangles