An IBNR-RBNS insurance risk model with marked Poisson arrivals
From MaRDI portal
Publication:1742703
Recommendations
Cites work
- A class of risk processes with delayed claims: ruin probability estimates under heavy tail conditions
- A class of risk processes with reserve-dependent premium rate: sample path large deviations and importance sampling
- A first course in stochastic models.
- A logarithmic reduction algorithm for quasi-birth-death processes
- A risk model with delayed claims
- A stochastic model for time lag in reporting of claims
- A stochastic two-dimensional fluid model
- A unified analysis of claim costs up to ruin in a Markovian arrival risk model
- An insensitivity property of Lundberg's estimate for delayed claims
- Applications of fluid flow matrix analytic methods in ruin theory -- a review
- Applied Probability and Queues
- Asymptotic results for perturbed risk processes with delayed claims
- Computation of the matrix exponential and its derivatives by scaling and squaring
- Efficient algorithms for transient analysis of stochastic fluid flow models
- Explosive Poisson shot noise processes with applications to risk reserves
- Fluctuations of spectrally negative Markov additive processes
- Fluid models in queueing theory and Wiener-Hopf factorization of Markov chains
- Hitting probabilities and hitting times for stochastic fluid flows
- scientific article; zbMATH DE number 3936330 (Why is no real title available?)
- scientific article; zbMATH DE number 1183924 (Why is no real title available?)
- scientific article; zbMATH DE number 194776 (Why is no real title available?)
- Introduction to Matrix Analytic Methods in Stochastic Modeling
- Large deviations for risk models in which each main claim induces a delayed claim
- Loss models. From data to decisions
- Lundberg parameters for non standard risk processes
- Non-life insurance mathematics. An introduction with the Poisson process
- Occupation densities in solving exit problems for Markov additive processes and their reflections
- On a risk model with claim investigation
- On the analysis of a multi-threshold Markovian risk model
- On the analysis of the Gerber-Shiu discounted penalty function for risk processes with Markovian arrivals
- On the discounted aggregate claim costs until ruin in dependent Sparre Andersen risk processes
- On the Time Value of Ruin
- On Ultimate Ruin in a Delayed-Claims Risk Model
- Passage times in fluid models with application to risk processes
- Perturbed MAP Risk Models with Dividend Barrier Strategies
- Potential measures for spectrally negative Markov additive processes with applications in ruin theory
- Recursive calculation of the dividend moments in a multi-threshold risk model
- Risk processes analyzed as fluid queues
- Ruin probabilities
- Ruin probabilities allowing for delay in claims settlement
- Ruin problems under IBNR dynamics
- Ruin time and aggregate claim amount up to ruin time for the perturbed risk process
- Stochastic claims reserving methods in insurance
- The expected value of IBNR-claims
- The Fourier-series method for inverting transforms of probability distributions
- The moments of the time of ruin in Markovian risk models
- Transient Analysis of Fluid Flow Models via Stochastic Coupling to a Queue
Cited in
(5)- Matrix equations in Markov modulated Brownian motion: theoretical properties and numerical solution
- A marked Cox model for the number of IBNR claims: theory
- Analysis of IBNR claims in renewal insurance models
- Poisson-Gamma mixture processes and applications to premium calculation
- Finding an NARE whose minimal nonnegative solution represents first passage quantities in the two-dimensional Brownian motion
This page was built for publication: An IBNR-RBNS insurance risk model with marked Poisson arrivals
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1742703)
