Asymptotic correlation structure of discounted incurred but not reported claims under fractional Poisson arrival process

DOI10.1016/j.ejor.2019.01.033zbMath1430.90188arXiv1801.04691OpenAlexW2963677462WikidataQ128551725 ScholiaQ128551725MaRDI QIDQ666972

Eric C. K. Cheung, Jae-Kyung Woo, Ran Xu, Landy Rabehasaina

Publication date: 12 March 2019

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1801.04691

zbMATH Keywords

correlationapplied probabilityfractional Poisson processincurred but not reported (IBNR) claimsinfinite server queues

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Queues and service in operations research (90B22) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Related Items (2)

Multivariate claim processes with rough intensities: properties and estimation ⋮ Optimal dynamic reinsurance policies under a generalized Denneberg's absolute deviation principle

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