An IBNR-RBNS insurance risk model with marked Poisson arrivals

DOI10.1016/j.insmatheco.2017.12.004zbMath1400.91238OpenAlexW2777458192MaRDI QIDQ1742703

Jeong-Rae Kim, Eric C. K. Cheung, Soohan Ahn, Andrei L. Badescu

Publication date: 12 April 2018

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2017.12.004

zbMATH Keywords

ruin probabilityMarkovian arrival processincurred but not reported (IBNR) claimsjoint Laplace transformaggregate payment processesreported but not settled (RBNS) claims

Mathematics Subject Classification ID

Related Items (2)

Poisson-Gamma mixture processes and applications to premium calculation ⋮ Matrix equations in Markov modulated Brownian motion: theoretical properties and numerical solution

Uses Software

• MCQueue
• EMpht

Cites Work

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