3 papers
q-fin.RM2021
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…
stat.AP2021
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)…
math.PR2018
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…