An IBNR-RBNS insurance risk model with marked Poisson arrivals

DOI10.1016/j.insmatheco.2017.12.004zbMath1400.91238MaRDI QIDQ1742703

Jeong-Rae Kim, Eric C. K. Cheung, Soohan Ahn, Andrei L. Badescu

Publication date: 12 April 2018

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2017.12.004

zbMATH Keywords

ruin probability; Markovian arrival process; incurred but not reported (IBNR) claims; joint Laplace transform; aggregate payment processes; reported but not settled (RBNS) claims

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

60J25: Continuous-time Markov processes on general state spaces

60K10: Applications of renewal theory (reliability, demand theory, etc.)

Related Items

Poisson-Gamma mixture processes and applications to premium calculation, Matrix equations in Markov modulated Brownian motion: theoretical properties and numerical solution

Uses Software

• MCQueue
• EMpht

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Occupation densities in solving exit problems for Markov additive processes and their reflections
• Passage times in fluid models with application to risk processes
• Asymptotic results for perturbed risk processes with delayed claims
• A class of risk processes with reserve-dependent premium rate: sample path large deviations and importance sampling
• On a risk model with claim investigation
• Non-life insurance mathematics. An introduction with the Poisson process
• Ruin probabilities allowing for delay in claims settlement
• The Fourier-series method for inverting transforms of probability distributions
• Fluid models in queueing theory and Wiener-Hopf factorization of Markov chains
• Explosive Poisson shot noise processes with applications to risk reserves
• On the analysis of the Gerber-Shiu discounted penalty function for risk processes with Markovian arrivals
• A unified analysis of claim costs up to ruin in a Markovian arrival risk model
• Potential measures for spectrally negative Markov additive processes with applications in ruin theory
• Hitting probabilities and hitting times for stochastic fluid flows
• A Risk Model with Delayed Claims
• Ruin problems under IBNR dynamics
• Ruin time and aggregate claim amount up to ruin time for the perturbed risk process
• The Moments of the Time of Ruin in Markovian Risk Models
• On the analysis of a multi-threshold Markovian risk model
• A stochastic model for time lag in reporting of claims
• The expected value of IBNR-claims
• Introduction to Matrix Analytic Methods in Stochastic Modeling
• A logarithmic reduction algorithm for quasi-birth-death processes
• Transient Analysis of Fluid Flow Models via Stochastic Coupling to a Queue
• An insensitivity property of Lundberg's estimate for delayed claims
• On the discounted aggregate claim costs until ruin in dependent Sparre Andersen risk processes
• Applied Probability and Queues
• Computation of the matrix exponential and its derivatives by scaling and squaring
• A Stochastic Two-Dimensional Fluid Model
• Recursive Calculation of the Dividend Moments in a Multi-threshold Risk Model
• On Ultimate Ruin in a Delayed-Claims Risk Model
• Perturbed MAP Risk Models with Dividend Barrier Strategies
• Lundberg parameters for non standard risk processes
• A class of risk processes with delayed claims: ruin probability estimates under heavy tail conditions
• Risk processes analyzed as fluid queues
• Large deviations for risk models in which each main claim induces a delayed claim
• Efficient algorithms for transient analysis of stochastic fluid flow models
• On the Time Value of Ruin
• Applications of fluid flow matrix analytic methods in ruin theory —a review;Méetodos analíticos matriciales para flujos fluidos aplicados a la teoría de la ruina —una revisión