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

DOI10.1016/j.insmatheco.2016.07.004zbMath1371.91110OpenAlexW2484705546MaRDI QIDQ2520463

Jae-Kyung Woo

Publication date: 13 December 2016

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

Full work available at URL: http://hdl.handle.net/10722/229481

zbMATH Keywords

covariancerenewal processmultivariate distributionIBNR claimsjoint momentsdiscounted aggregate claim costsmultiline insurancereported/unreported claims

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Exact distribution theory in statistics (62E15) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Related Items

ON A MULTIVARIATE GENERALIZED POLYA PROCESS WITHOUT REGULARITY PROPERTY, A compound trend renewal model for medical/professional liabilities, Asymptotic correlation structure of discounted incurred but not reported claims under fractional Poisson arrival process, Modelling of marginally regular bivariate counting process and its application to shock model, Analysis of the infinite server queues with semi-Markovian multivariate discounted inputs, On a multivariate renewal-reward process involving time delays and discounting: applications to IBNR processes and infinite server queues

Uses Software

• MCQueue

Cites Work

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