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Ruin probabilities allowing for delay in claims settlement |
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| Authors: | Howard R. Waters Alex Papatriandafylou |
| Affiliation: | Department of Actuarial Mathematics and Statistics, Hernot-Watt University, Riccarton, Carrie, Edinburgh, Scotland;Astr Insurance Company SA, 6 Merlin Street, Athens 134, Greece |
| 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. |
| Keywords: | Probability of ruin Martingales Outstanding claims reserves Run-off triangles |
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