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Article: On multivariate discounted compound renewal sums with time-dependent claims in the presence of reporting/payment delays

TitleOn multivariate discounted compound renewal sums with time-dependent claims in the presence of reporting/payment delays
Authors
Issue Date2016
PublisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ime
Citation
Insurance: Mathematics and Economics, 2016, v. 70, p. 354-363 How to Cite?
AbstractIn this paper, we consider an insurance portfolio containing several types of policies which may simultaneously face claims arising from the same catastrophe. A renewal counting process for the number of events causing claims and multivariate claim severities which are dependent on the occurrence time and/or the delay in reporting or payment are assumed. A unified model is proposed to study the time-dependent loss quantities such as the discounted aggregate reported/unreported claims and the number of the incurred but not reported (IBNR) claims. We then derive the joint moments of (i) different types of discounted aggregate claims until time $t$; and (ii) different types of discounted aggregate reported/unreported claims (including the total numbers of IBNR as special case) until time $t$. Finally, some numerical examples involving covariances and correlations of the aforementioned quantities are provided.
Persistent Identifierhttp://hdl.handle.net/10722/229481
ISSN
2015 Impact Factor: 1.378
2015 SCImago Journal Rankings: 1.000

 

DC FieldValueLanguage
dc.contributor.authorWoo, JK-
dc.date.accessioned2016-08-23T14:11:25Z-
dc.date.available2016-08-23T14:11:25Z-
dc.date.issued2016-
dc.identifier.citationInsurance: Mathematics and Economics, 2016, v. 70, p. 354-363-
dc.identifier.issn0167-6687-
dc.identifier.urihttp://hdl.handle.net/10722/229481-
dc.description.abstractIn this paper, we consider an insurance portfolio containing several types of policies which may simultaneously face claims arising from the same catastrophe. A renewal counting process for the number of events causing claims and multivariate claim severities which are dependent on the occurrence time and/or the delay in reporting or payment are assumed. A unified model is proposed to study the time-dependent loss quantities such as the discounted aggregate reported/unreported claims and the number of the incurred but not reported (IBNR) claims. We then derive the joint moments of (i) different types of discounted aggregate claims until time $t$; and (ii) different types of discounted aggregate reported/unreported claims (including the total numbers of IBNR as special case) until time $t$. Finally, some numerical examples involving covariances and correlations of the aforementioned quantities are provided.-
dc.languageeng-
dc.publisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ime-
dc.relation.ispartofInsurance: Mathematics and Economics-
dc.titleOn multivariate discounted compound renewal sums with time-dependent claims in the presence of reporting/payment delays-
dc.typeArticle-
dc.identifier.emailWoo, JK: jkwoo@hku.hk-
dc.identifier.authorityWoo, JK=rp01623-
dc.identifier.doi10.1016/j.insmatheco.2016.07.004-
dc.identifier.hkuros260224-
dc.identifier.volume70-
dc.identifier.spage354-
dc.identifier.epage363-
dc.publisher.placeNetherlands-

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