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Article: On multivariate discounted compound renewal sums with time-dependent claims in the presence of reporting/payment delays
Title | On multivariate discounted compound renewal sums with time-dependent claims in the presence of reporting/payment delays |
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Authors | |
Keywords | Covariance Discounted aggregate claim costs IBNR claims Joint moments Multiline insurance Multivariate distribution Renewal process Reported/Unreported claims |
Issue Date | 2016 |
Publisher | Elsevier 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? |
Abstract | In 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 Identifier | http://hdl.handle.net/10722/229481 |
ISSN | 2023 Impact Factor: 1.9 2023 SCImago Journal Rankings: 1.113 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Woo, JK | - |
dc.date.accessioned | 2016-08-23T14:11:25Z | - |
dc.date.available | 2016-08-23T14:11:25Z | - |
dc.date.issued | 2016 | - |
dc.identifier.citation | Insurance: Mathematics and Economics, 2016, v. 70, p. 354-363 | - |
dc.identifier.issn | 0167-6687 | - |
dc.identifier.uri | http://hdl.handle.net/10722/229481 | - |
dc.description.abstract | In 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.language | eng | - |
dc.publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ime | - |
dc.relation.ispartof | Insurance: Mathematics and Economics | - |
dc.rights | This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License. | - |
dc.subject | Covariance | - |
dc.subject | Discounted aggregate claim costs | - |
dc.subject | IBNR claims | - |
dc.subject | Joint moments | - |
dc.subject | Multiline insurance | - |
dc.subject | Multivariate distribution | - |
dc.subject | Renewal process | - |
dc.subject | Reported/Unreported claims | - |
dc.title | On multivariate discounted compound renewal sums with time-dependent claims in the presence of reporting/payment delays | - |
dc.type | Article | - |
dc.identifier.email | Woo, JK: jkwoo@hku.hk | - |
dc.identifier.authority | Woo, JK=rp01623 | - |
dc.description.nature | postprint | - |
dc.identifier.doi | 10.1016/j.insmatheco.2016.07.004 | - |
dc.identifier.scopus | eid_2-s2.0-84979887577 | - |
dc.identifier.hkuros | 260224 | - |
dc.identifier.volume | 70 | - |
dc.identifier.spage | 354 | - |
dc.identifier.epage | 363 | - |
dc.identifier.isi | WOS:000383828200031 | - |
dc.publisher.place | Netherlands | - |
dc.identifier.issnl | 0167-6687 | - |