Abstract
Wu and Yuen (2003) proposed the so-called interaction risk model for dependent classes of business. In the case of two classes of business, the interaction comes from the assumption that each main claim in one class induces a by-claim in the other class with a certain probability. In this paper we study the interaction risk model with delayed claims.
Specifically the occurrences of induced by-claims may be delayed. Within the framework of compound binomial process, we develop recursive equations for calculating the finite-time survival probabilities and derive an explicit expression for the ultimate survival probability in a special case.
Keywords: By-claim; Main claim; Generating function; Interaction risk model; Recursive formula; Survival probability
Specifically the occurrences of induced by-claims may be delayed. Within the framework of compound binomial process, we develop recursive equations for calculating the finite-time survival probabilities and derive an explicit expression for the ultimate survival probability in a special case.
Keywords: By-claim; Main claim; Generating function; Interaction risk model; Recursive formula; Survival probability
Volume
Bergen, Norway
Year
2004
Categories
Financial and Statistical Methods
Aggregation Methods
Collective Risk Model
Financial and Statistical Methods
Loss Distributions
Actuarial Applications and Methodologies
Reserving
Publications
ASTIN Colloquium
