An IBNR-RBNS insurance risk model with marked Poisson arrivals
type: Item
instance of: scholarly article
title: An IBNR-RBNS insurance risk model with marked Poisson arrivals
zbMATH Open document ID: 1400.91238
author: Soohan Ahn
author: Andrei Badescu
author: Eric C. K. Cheung
author: Jeong-Rae Kim
published in: Insurance Mathematics \& Economics
publication date: 2018-04-12T00:00:00Z
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 60J25
Mathematics Subject Classification ID: 60K10
zbMATH DE Number: 6858900
zbMATH Keywords: incurred but not reported (IBNR) claims
zbMATH Keywords: reported but not settled (RBNS) claims
zbMATH Keywords: Markovian arrival process
zbMATH Keywords: ruin probability
zbMATH Keywords: aggregate payment processes
zbMATH Keywords: joint Laplace transform
describes a project that uses: MCQueue
describes a project that uses: EMpht
MaRDI profile type: Publication
full work available at URL: j.insmatheco.2017.12.004
OpenAlex ID: W2777458192
cites work: The Fourier-series method for inverting transforms of probability distributions
cites work: On the analysis of the Gerber-Shiu discounted penalty function for risk processes with Markovian arrivals
cites work: Transient Analysis of Fluid Flow Models via Stochastic Coupling to a Queue
cites work: Efficient algorithms for transient analysis of stochastic fluid flow models
cites work: Applied Probability and Queues
cites work: Q3560912
cites work: Q3838095
cites work: Risk processes analyzed as fluid queues
cites work: On the analysis of a multi-threshold Markovian risk model
cites work: Recursive Calculation of the Dividend Moments in a Multi-threshold Risk Model
cites work: Applications of fluid flow matrix analytic methods in ruin theory —a review;Méetodos analíticos matriciales para flujos fluidos aplicados a la teoría de la ruina —una revisión
cites work: A Stochastic Two-Dimensional Fluid Model
cites work: Hitting probabilities and hitting times for stochastic fluid flows
cites work: An insensitivity property of Lundberg's estimate for delayed claims
cites work: A unified analysis of claim costs up to ruin in a Markovian arrival risk model
cites work: Perturbed MAP Risk Models with Dividend Barrier Strategies
cites work: On the discounted aggregate claim costs until ruin in dependent Sparre Andersen risk processes
cites work: A risk model with delayed claims
cites work: Potential measures for spectrally negative Markov additive processes with applications in ruin theory
cites work: Computation of the matrix exponential and its derivatives by scaling and squaring
cites work: A class of risk processes with reserve-dependent premium rate: sample path large deviations and importance sampling
cites work: A class of risk processes with delayed claims: ruin probability estimates under heavy tail conditions
cites work: On the Time Value of Ruin
cites work: On a risk model with claim investigation
cites work: Occupation densities in solving exit problems for Markov additive processes and their reflections
cites work: A stochastic model for time lag in reporting of claims
cites work: The expected value of IBNR-claims
cites work: Loss models. From data to decisions
cites work: Explosive Poisson shot noise processes with applications to risk reserves
cites work: Q3526631
cites work: A logarithmic reduction algorithm for quasi-birth-death processes
cites work: Introduction to Matrix Analytic Methods in Stochastic Modeling
cites work: Large deviations for risk models in which each main claim induces a delayed claim
cites work: Lundberg parameters for non standard risk processes
cites work: Asymptotic results for perturbed risk processes with delayed claims
cites work: Non-life insurance mathematics. An introduction with the Poisson process
cites work: Q4692768
cites work: Ruin time and aggregate claim amount up to ruin time for the perturbed risk process
cites work: Passage times in fluid models with application to risk processes
cites work: Fluid models in queueing theory and Wiener-Hopf factorization of Markov chains
cites work: Q3707219
cites work: Q5291082
cites work: Ruin problems under IBNR dynamics
cites work: Ruin probabilities allowing for delay in claims settlement
cites work: Stochastic claims reserving methods in insurance
cites work: The Moments of the Time of Ruin in Markovian Risk Models
cites work: On Ultimate Ruin in a Delayed-Claims Risk Model
DOI: 10.1016/J.INSMATHECO.2017.12.004
description: scientific article; zbMATH DE number 6858900