On the joint analysis of time-dependent multivariate aggregate claims in a Markovian environment


Grant Data
Project Title
On the joint analysis of time-dependent multivariate aggregate claims in a Markovian environment
Principal Investigator
Dr Woo, Jae Kyung   (Principal investigator)
Co-Investigator(s)
Dr Landy Rabehasaina   (Co-principal investigator)
Duration
24
Start Date
2016-01-01
Completion Date
2017-12-31
Amount
45000
Conference Title
Presentation Title
Keywords
joint analysis, time-dependent, multivariate aggregate claims, Markovian environment
Discipline
Probability & Statistics,Mathematical Finance and Insurance
Panel
Physical Sciences
Sponsor
France/HK Joint Research Scheme
HKU Project Code
F-HKU710/15T
Grant Type
France/Hong Kong Joint Research Scheme - Travel Grants
Funding Year
2015/2016
Status
On-going
Objectives
1. The modeling of the insurer’s aggregate claim process with time-dependent multivariate claim severities facilitates risk management and provides deeper insight into the behavior of discounted aggregate claims and IBNR reserves. 2. Markovian random environments, which include the regime switching model as special case, are considered to be able to model situations with time-dependent claim adequately. 3. Incorporating dependent structure between different types of claim severities reflects the nature of catastrophic insurance risk realistically and provides analysis of risk aggregation. 4. The techniques in the proposed research are interdisciplinary, and we expect that our results can be applied to other models with similar mathematical structure in other fields such as reliability theory.