Asymptotic correlation structure of discounted Incurred But Not Reported claims under fractional Poisson arrival process

European Journal of Operational Research - Tập 276 - Trang 582-601 - 2019
Eric C.K. Cheung1, Landy Rabehasaina2, Jae-Kyung Woo3, Ran Xu4
1School of Risk and Actuarial Studies, UNSW Business School, University of New South Wales, Sydney, New South Wales 2052, Australia
2Laboratoire de Mathématiques, University Bourgogne Franche Comté, 16 route de Gray, Besançon cédex 25030, France
3School of Risk and Actuarial Studies, UNSW Business School, University of New South Wales, Sydney, NSW 2052, Australia
4Department of Mathematics and Statistics, Concordia University, 1455 de Maisonneuve Blvd W, Montreal, Quebec, H3G 1M8, Canada

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European Journal of Operational Research

Tập 276

582-601

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