Laboratoire de Mathématiques de Besançon - UMR 6623 CNRS
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11 septembre 2017: 1 événement

  • Planning des séminaires 2017-2018

    Lundi 11 septembre 11:00-12:00 - Landy Rabehasaina - LMB

    Séminaire PS : ASYMPTOTICS FOR MULTIDIMENSIONAL AND FRACTIONAL POISSON IBNR PROCESSES

    Résumé : Several papers have investigated closed form formulas for distribution (Laplace Transform or cdf) or moments of Incurred But Non Reported claim processes, See Willmott & Drekic (2002/2009), Landriault et al (2014/2016). We are interested in this talk in such a process generalized by including a discounting factor, and considering $k>1$ branches, i.e. correlated IBNR processes. As closed form expressions are not in general available (see Woo (2016)), we will give in this talk asymptotics for joint moments as well as the limiting distribution of the $k$ dimensional processes properly rescaled, in the case where interclaims are light tailed. Finally, in the particular $k=1$ case where claims arrive according to a Poisson fractional process, we will provide asymptotics for the moments and variance of the (non discounted) IBNR process. This is joint work with E.C.K.Cheung, J.K.Woo and R.Xu (Hong Kong Univ.)

    Lieu : Salle 316 - LMB

    En savoir plus : Planning des séminaires 2017-2018