In this paper we generalise the risk models beyond the ordinary framework of affine processes or Markov processes and study a risk process where the claim arrivals are driven by a Cox process with renewal shot-noise intensity. The upper bounds of the finite-horizon and infinite-horizon ruin...

In this paper, we introduce a simple risk model with delayed claims, an extension of the classical Poisson model. The arrival of claims is assumed to be a Poisson process, claims follow a light-tailed distribution, and each loss payment of the claims will be settled with a random period of...