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

DOI10.1016/J.EJOR.2019.01.033zbMATH Open1430.90188OpenAlexW2963677462WikidataQ128551725 ScholiaQ128551725MaRDI QIDQ666972FDOQ666972

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

Publication date: 12 March 2019

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

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.

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

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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)

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Cited In (3)

• On multivariate discounted compound renewal sums with time-dependent claims in the presence of reporting/payment delays
• Optimal dynamic reinsurance policies under a generalized Denneberg's absolute deviation principle
• Multivariate claim processes with rough intensities: properties and estimation

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