Asymptotic correlation structure of discounted Incurred But Not Reported claims under fractional Poisson arrival process [PDF]
European Journal of Operational Research, 2019 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.
Cheung, Eric CK +3 more
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Diffusion Approximation of a Risk Model with Non-Stationary Hawkes Arrivals of Claims [PDF]
Methodology and Computing in Applied Probability, 2019 We consider a classical risk process with arrival of claims following a non-stationary Hawkes process. We study the asymptotic regime when the premium rate and the baseline intensity of the claims arrival process are large, and claim size is small. The main goal of the article is to establish a diffusion approximation by verifying a functional central ...
Cheng, Zailei, Seol, Youngsoo
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Analysis of Insurance Claim Settlement Process with Markovian Arrival Processes [PDF]
Risks, 2016 This paper proposes a model for the claim occurrence, reporting, and handling process of insurance companies. It is assumed that insurance claims occur according to a Markovian arrival process. An incurred claim goes through some stages of a claim reporting and handling process, such as Incurred But Not Reported (IBNR), Reported But Not Settled (RBNS ...
Jiandong Ren
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Ruin probabilities with dependence on the number of claims within a fixed time window [PDF]
, 2016 We analyse the ruin probabilities for a renewal insurance risk process with inter-arrival time distributions depending on the claims that arrived within a fixed (past) time window. This dependence could be explained through a regenerative structure.
Constantinescu, Corina +3 more
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Ruin probabilities for risk processes with non-stationary arrivals and subexponential claims [PDF]
Insurance: Mathematics and Economics, 2013 15 ...
Lingjiong Zhu
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Risk Analysis of the Copula Dependent Aggregate Discounted Claims with Weibull Inter-Arrival Time
Sains Malaysiana, 2021 We model the recursive moments of aggregate discounted claims, assuming the inter-claim arrival time follows a Weibull distribution to accommodate overdispersed and underdispersed data set. We use a copula to represent the dependence structure between the inter-claim arrival time and its subsequent claim amount.
Siti Norafidah Mohd Ramli +2 more
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Finite-time ruin probability with NQD dominated varying-tailed claims and NLOD inter-arrival times
Journal of Systems Science and Complexity, 2009 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Li, Jingzhi, Wang, Kaiyong, Wang, Yuebao
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Journal of Industrial & Management Optimization, 2017 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Liu, Rongfei +2 more
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A unified analysis of claim costs up to ruin in a Markovian arrival risk model [PDF]
Insurance: Mathematics and Economics, 2013 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Feng, R, Cheung, ECK
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A Review of Sparse Sensor Arrays for Two-Dimensional Direction-of-Arrival Estimation
IEEE Access, 2021 Two-dimensional (2D) arrays are fundamental to localization applications. Specifically, sparse arrays can provide superior direction-of-arrival (DoA) estimation performance with limited number of sensors. There has been increased interest in the research
Ibrahim Aboumahmoud +3 more
semanticscholar +1 more source