A compound trend renewal model for medical/professional liabilities. (English) Zbl 1405.91262
Summary: A compound trend renewal model for the aggregate discounted indemnities and expenses assumed by the insurer is proposed for various coverages of medical/professional liabilities, where the real interest rates could be stochastic and where there is a possible dependence between the indemnities, the expenses and the delay before the claim’s settlement. In this paper, we get analytic formulas for the first raw and joint moments of this risk process for three insurance products. Then we calibrate our model on a real database and compare these various insurance products through the preceding quantities, by numerical calculations, and through some risk measures such as the VaR and TVaR, using simulations.
MSC:
| 91B30 | Risk theory, insurance (MSC2010) |
| 60K10 | Applications of renewal theory (reliability, demand theory, etc.) |
| 62P05 | Applications of statistics to actuarial sciences and financial mathematics |
| 91G30 | Interest rates, asset pricing, etc. (stochastic models) |
Keywords:
aggregate discounted payments; joint and raw moments; medical malpractice; professional liabilities; trend renewal process; stochastic interest rateReferences:
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