6 papers
Multivariate matrix-exponential affine mixtures and their applications in risk theory
Eric C. K. Cheung, Oscar Peralta, Jae-Kyung Woo
In this paper, a class of multivariate matrix-exponential affine mixtures with matrix-exponential marginals is proposed. The class is shown to possess various attractive properties…
Optimal relativities in a modified Bonus-Malus system with long memory transition rules and frequency-severity dependence
Jae Youn Ahn, Eric C. K. Cheung, Rosy Oh +1
In the classical Bonus-Malus System (BMS) in automobile insurance, the premium for the next year is adjusted according to the policyholder's claim history (particularly frequency)…
Multitype branching process with nonhomogeneous Poisson and generalized Polya immigration
Landy Rabehasaina, Jae-Kyung Woo
In a multitype branching process, it is assumed that immigrants arrive according to a nonhomogeneous Poisson or a generalized Polya process (both processes are formulated as a nonh…
Analysis of the infinite server queues with semi-Markovian multivariate discounted inputs
Landy Rabehasaina, Jae-Kyung Woo
We consider a general dimensional discounted infinite server queues process (alternatively, an Incurred But Not Reported (IBNR) claim process) where the multivariate inputs (cl…
Asymptotic Correlation Structure of Discounted Incurred But Not Reported Claims under Fractional Poisson Arrival Process
Eric Cheung, Landy Rabehasaina, Jae-Kyung Woo +1
This paper studies the joint moments of a compound discounted renewal process observed at different times with each arrival removed from the system after a random delay. This proce…
On a multivariate renewal-reward process involving time delays and discounting: Applications to IBNR process and infinite server queues
Landy Rabehasaina, Jae-Kyung Woo
This paper considers a particular renewal-reward process with multivariate discounted rewards (inputs) where the arrival epochs are adjusted by adding some random delays. Then this…