Asymptotic correlation structure of discounted incurred but not reported claims under fractional Poisson arrival process
From MaRDI portal
Publication:666972
Abstract: This paper studies the joint moments of a compound discounted renewal process observed at different times with each arrival removed from the system after a random delay. This process can be used to describe the aggregate (discounted) Incurred But Not Reported claims in insurance and also the total number of customers in an infinite server queue. It is shown that the joint moments can be obtained recursively in terms of the renewal density, from which the covariance and correlation structures are derived. In particular, the fractional Poisson process defined via the renewal approach is also considered. Furthermore, the asymptotic behaviour of covariance and correlation coefficient of the aforementioned quantities is analyzed as the time horizon goes to infinity. Special attention is paid to the cases of exponential and Pareto delays.
Recommendations
- On a multivariate renewal-reward process involving time delays and discounting: applications to IBNR processes and infinite server queues
- On multivariate discounted compound renewal sums with time-dependent claims in the presence of reporting/payment delays
- Analysis of IBNR claims in renewal insurance models
- Joint moments of discounted compound renewal sums
- Conditional, non-homogeneous and doubly stochastic compound Poisson processes with stochastic discounted claims
Cites work
- scientific article; zbMATH DE number 3863589 (Why is no real title available?)
- scientific article; zbMATH DE number 6521379 (Why is no real title available?)
- A compound renewal model for medical malpractice insurance
- A fractional generalization of the Poisson processes
- A heavy traffic approach to modeling large life insurance portfolios
- A large deviations principle for infinite-server queues in a random environment
- A large-deviations analysis of Markov-modulated infinite-server queues
- A marked Cox model for the number of IBNR claims: theory
- A stochastic model for time lag in reporting of claims
- Analysis of IBNR claims in renewal insurance models
- Fractional Poisson process
- Fractional Poisson process: long-range dependence and applications in ruin theory
- Importance sampling algorithms for first passage time probabilities in the infinite server queue
- Infinite-server queues with batch arrivals and dependent service times
- Introduction to probability models
- Joint moments of discounted compound renewal sums
- M/G/\(\infty\) with batch arrivals
- Markov-modulated infinite-server queues with general service times
- Networks of non-homogeneous M/G/∞ systems
- Non-life insurance mathematics. An introduction with the Poisson process
- On a fractional linear birth-death process
- On multivariate discounted compound renewal sums with time-dependent claims in the presence of reporting/payment delays
- On the GIX/G/∞ system
- On the long-range dependence of fractional Poisson and negative binomial processes
- On the time to ruin for Erlang(2) risk processes.
- Parameter estimation for fractional Poisson processes
- Queueing network \(\text{MAP}-(G I / \infty)^K\) with high-rate arrivals
- Refined large deviations asymptotics for Markov-modulated infinite-server systems
- Self-similar communication models and very heavy tails.
- Some results for infinite server poisson queues
- Stochastic modeling for reliability. Shocks, burn-in and heterogeneous populations
- Stochastic orders
- The fractional Poisson process and the inverse stable subordinator
Cited in
(3)
This page was built for publication: Asymptotic correlation structure of discounted incurred but not reported claims under fractional Poisson arrival process
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q666972)
