Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5076245 | Insurance: Mathematics and Economics | 2016 | 21 Pages |
Abstract
In this paper, we consider an insurance portfolio containing several types of policies which may simultaneously face claims arising from the same catastrophe. A renewal counting process for the number of events causing claims and multivariate claim severities which are dependent on the occurrence time and/or the delay in reporting or payment are assumed. A unified model is proposed to study the time-dependent loss quantities such as the discounted aggregate reported/unreported claims and the number of the incurred but not reported (IBNR) claims. We then derive the joint moments of (i) different types of discounted aggregate claims until time t; and (ii) different types of discounted aggregate reported/unreported claims (including the total numbers of IBNR as special case) until time t. Finally, some numerical examples involving covariances and correlations of the aforementioned quantities are provided.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Jae-Kyung Woo,