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On the analysis of time dependent claims in a class of birth process claim count models

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  • Landriault, David
  • Willmot, Gordon E.
  • Xu, Di

Abstract

An integral representation is derived for the sum of all claims over a finite interval when the claim value depends upon its incurral time. These time dependent claims, which generalize the usual compound model for aggregate claims, have insurance applications involving models for inflation and payment delays. The number of claims process is assumed to be a (possibly delayed) nonhomogeneous birth process, which includes the Poisson process, contagion models, and the mixed Poisson process, as special cases. Known simplified compound representations in these special cases are easily generalized to the conditional case, given the number of claims at the beginning of the interval. Applications to the case involving “two stages” are also considered.

Suggested Citation

  • Landriault, David & Willmot, Gordon E. & Xu, Di, 2014. "On the analysis of time dependent claims in a class of birth process claim count models," Insurance: Mathematics and Economics, Elsevier, vol. 58(C), pages 168-173.
    • Handle: RePEc:eee:insuma:v:58:y:2014:i:c:p:168-173
    DOI: 10.1016/j.insmatheco.2014.07.001
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    References listed on IDEAS

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    1. Woo, Jae-Kyung & Cheung, Eric C.K., 2013. "A note on discounted compound renewal sums under dependency," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 170-179.
    2. Willmot, Gordon E., 2010. "Distributional analysis of a generalization of the Polya process," Insurance: Mathematics and Economics, Elsevier, vol. 47(3), pages 423-427, December.
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    Cited by:

    1. Huynh, Mirabelle & Landriault, David & Shi, Tianxiang & Willmot, Gordon E., 2015. "On a risk model with claim investigation," Insurance: Mathematics and Economics, Elsevier, vol. 65(C), pages 37-45.
    2. Woo, Jae-Kyung, 2016. "On multivariate discounted compound renewal sums with time-dependent claims in the presence of reporting/payment delays," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 354-363.
    3. Fouad Marri & Franck Adékambi & Khouzeima Moutanabbir, 2018. "Moments of Compound Renewal Sums with Dependent Risks Using Mixing Exponential Models," Risks, MDPI, vol. 6(3), pages 1-17, August.
    4. Francisco Germán Badía & Sophie Mercier & Carmen Sangüesa, 2019. "Extensions of the Generalized Pólya Process," Methodology and Computing in Applied Probability, Springer, vol. 21(4), pages 1057-1085, December.

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