Analysis of IBNR claims in renewal insurance models
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Publication:4577198
DOI10.1080/03461238.2016.1225265zbMath1402.91205OpenAlexW2512566449MaRDI QIDQ4577198
Di Xu, Gordon E. Willmot, David Landriault
Publication date: 17 July 2018
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461238.2016.1225265
recursionnegative binomial distributionsself-decomposabilitydefective renewal equationbatch sizerational Laplace transformmixed Erlang distributionsIRIBNRdiscounted renewal sum
Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of renewal theory (reliability, demand theory, etc.) (60K10)
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Analysis of IBNR liabilities with interevent times depending on claim counts, Asymptotic correlation structure of discounted incurred but not reported claims under fractional Poisson arrival process, On a multivariate renewal-reward process involving time delays and discounting: applications to IBNR processes and infinite server queues
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