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Article: Aggregate claim models with one-way and two-way dependence among individual claims

TitleAggregate claim models with one-way and two-way dependence among individual claims
Authors
KeywordsAggregate claim model
Recursive calculation
Dependence
Indexed benefits
Fixed costs
Inflation
Issue Date2018
PublisherInternational Academic Press.
Citation
Statistics, Optimization & Information Computing, 2018, v. 6 n. 3, p. 468-482 How to Cite?
AbstractMotivated by some real life correlations among insurance claims, we consider three aggregate claim models with dependence in this paper. Model one considers the dependence caused by a common index among indexed insurance benefits; model two takes into account the correlation arisen from common fixed costs; model three covers both types of dependence. Two random variables, Y1 denoting a random index and Y2 denoting a random cost, form the center part in the above three dependence models and detailed discussions are given on how the aggregate claims amount interacts with these sources of dependence. Theoretical results of these aggregate claim distributions are derived and algorithms for computational purposes are also provided. Some numerical results are presented for the compound Poisson case together with discussions and comparisons regarding the three dependence cases.
Persistent Identifierhttp://hdl.handle.net/10722/259508
ISSN

 

DC FieldValueLanguage
dc.contributor.authorWu, X-
dc.contributor.authorYuen, KC-
dc.contributor.authorZhang, P-
dc.date.accessioned2018-09-03T04:08:58Z-
dc.date.available2018-09-03T04:08:58Z-
dc.date.issued2018-
dc.identifier.citationStatistics, Optimization & Information Computing, 2018, v. 6 n. 3, p. 468-482-
dc.identifier.issn2310-5070-
dc.identifier.urihttp://hdl.handle.net/10722/259508-
dc.description.abstractMotivated by some real life correlations among insurance claims, we consider three aggregate claim models with dependence in this paper. Model one considers the dependence caused by a common index among indexed insurance benefits; model two takes into account the correlation arisen from common fixed costs; model three covers both types of dependence. Two random variables, Y1 denoting a random index and Y2 denoting a random cost, form the center part in the above three dependence models and detailed discussions are given on how the aggregate claims amount interacts with these sources of dependence. Theoretical results of these aggregate claim distributions are derived and algorithms for computational purposes are also provided. Some numerical results are presented for the compound Poisson case together with discussions and comparisons regarding the three dependence cases.-
dc.languageeng-
dc.publisherInternational Academic Press.-
dc.relation.ispartofStatistics, Optimization & Information Computing-
dc.rightsThis work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.-
dc.subjectAggregate claim model-
dc.subjectRecursive calculation-
dc.subjectDependence-
dc.subjectIndexed benefits-
dc.subjectFixed costs-
dc.subjectInflation-
dc.titleAggregate claim models with one-way and two-way dependence among individual claims-
dc.typeArticle-
dc.identifier.emailYuen, KC: kcyuen@hku.hk-
dc.identifier.authorityYuen, KC=rp00836-
dc.description.naturepublished_or_final_version-
dc.identifier.doi10.19139/soic.v6i3.584-
dc.identifier.hkuros289184-
dc.identifier.volume6-
dc.identifier.issue3-
dc.identifier.spage468-
dc.identifier.epage482-
dc.publisher.placeHong Kong-

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