相关论文: A Marked Cox Model for IBNR Claims: Model and Theo…

We investigate an insurance risk model that consists of two reserves which receive income at fixed rates. Claims are being requested at random epochs from each reserve and the interclaim times are generally distributed. The two reserves are…

In the analysis of time-to-event data with multiple causes using a competing risks Cox model, often the cause of failure is unknown for some of the cases. The probability of a missing cause is typically assumed to be independent of the…

Our article considers the class of recently developed stochastic models that combine claims payments and incurred losses information into a coherent reserving methodology. In particular, we develop a family of Heirarchical Bayesian…

A delay between the occurrence and the reporting of events often has practical implications such as for the amount of capital to hold for insurance companies, or for taking preventive actions in case of infectious diseases. The accurate…

We propose a novel approach to estimate the Cox model with temporal covariates. Our new approach treats the temporal covariates as arising from a longitudinal process which is modeled jointly with the event time. Different from the…

We are now witnessing the increasing availability of event stream data, i.e., a sequence of events with each event typically being denoted by the time it occurs and its mark information (e.g., event type). A fundamental problem is to model…

This paper presents a multinomial multi-state micro-level reserving model, denoted mCube. We propose a unified framework for modelling the time and the payment process for IBNR and RBNS claims and for modeling IBNR claim counts. We use…

The prediction of future insurance claims based on observed risk factors, or covariates, help the actuary set insurance premiums. Typically, actuaries use parametric regression models to predict claims based on the covariate information.…

Our paper explores a discrete-time risk model with time-varying premiums, investigating two types of correlated claims: main claims and by-claims. Settlement of the by-claims can be delayed for one time period, representing real-world…

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…

We consider continuous time risk processes in which the claim sizes are dependent and non-identically distributed phase-type distributions. The class of distributions we propose is easy to characterize and allows to incorporate the…

Due to the presence of reporting and settlement delay, claim data sets collected by non-life insurance companies are typically incomplete, facing right censored claim count and claim severity observations. Current practice in non-life…

Currently, work injury compensation boards in Canada track injury information using a standard system of codes (under the National Work Injury Statistics Program (NWISP)). These codes capture the medical nature and original cause of the…

In this paper, the asymptotic behavior of the entrance probability of discounted aggregate claims of a certain family of rare sets is studied, considering the finite and infinite time horizons. This multivariate risk model, driven by a…

We develop a class of non-life reserving models using a stable-1/2 random bridge to simulate the accumulation of paid claims, allowing for an essentially arbitrary choice of a priori distribution for the ultimate loss. Taking an…

In this paper we examine a multivariate risk model, with common renewal counting process, constant interest rate, and each claim vector is accompanied by a random number of delayed claim vectors. The interest is focused on the asymptotic…

The Markov-modulated Poisson process is utilised for count modelling in a variety of areas such as queueing, reliability, network and insurance claims analysis. In this paper, we extend the Markov-modulated Poisson process framework through…

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…

The claim arrival process to an insurance company is modeled by a compound Poisson process whose intensity and/or jump size distribution changes at an unobservable time with a known distribution. It is in the insurance company's interest to…

In this article we consider an aggregate loss model with dependent losses. The losses occurrence process is governed by a two-state Markovian arrival process (MAP2), a Markov renewal process process that allows for (1) correlated…