کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5076357 | 1477206 | 2016 | 9 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
A marked Cox model for the number of IBNR claims: Theory
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
In this paper, we propose to model the claim arrival process together with its reporting delays as a marked Cox process. Our model is versatile in modeling temporal dependence, allowing also for natural interpretations. This paper focuses mainly on the theoretical aspects of the proposed model. We show that the associated reported claim process and IBNR claim process are both marked Cox processes with easily convertible intensity functions and marking distributions. The proposed model can also account for fluctuations in the exposure. By an order statistics property, we show that the corresponding discretely observed process preserves all the information about the claim arrivals. Finally, we derive closed-form expressions for both the autocorrelation function (ACF) and the distributions of the numbers of reported claims and IBNR claims. Model estimation and its applications are considered in a subsequent paper, Badescu et al. (2015b).
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 69, July 2016, Pages 29-37
Journal: Insurance: Mathematics and Economics - Volume 69, July 2016, Pages 29-37
نویسندگان
Andrei L. Badescu, X. Sheldon Lin, Dameng Tang,