An insensitivity property of Lundberg's estimate for delayed claims-Reference-Cited by-同舟云学术

An insensitivity property of Lundberg's estimate for delayed claims

Published:2000-09 Issue:3 Volume:37 Page:914-917
ISSN:0021-9002
Container-title:Journal of Applied Probability
language:en
Short-container-title:Journal of Applied Probability

Author:

Brémaud Pierre

Abstract

This short note shows that the Lundberg exponential upper bound in the ruin problem of non-life insurance with compound Poisson claims is also valid for the Poisson shot noise delayed-claims model, and that the optimal exponent depends only on the distribution of the total claim per accident, not on the time it takes to honour the claim. This result holds under Cramer's condition.

Publisher

Cambridge University Press (CUP)

Subject

Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability

Reference5 articles.

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