Accession Number : ADA259155


Title :   Poisson Compounding of Dependent Random Variables: A Stochastic Model for Total Claim Costs


Descriptive Note : Final rept. Jun-Aug 92,


Corporate Author : NAVAL HEALTH RESEARCH CENTER SAN DIEGO CA


Personal Author(s) : Angus, John E


Full Text : https://apps.dtic.mil/dtic/tr/fulltext/u2/a259155.pdf


Report Date : Aug 1992


Pagination or Media Count : 20


Abstract : In modeling total claims and compensation costs associated with hazardous material exposures, there are two sources of random variation. First, the claims are adjudicated at random points in time and secondly, the actual compensation awarded in each case is random. The Compound Poisson Process (CPP) is a useful model for describing total claim costs in the insurance industry when all types of claims are considered together. However, for specific claim types, the successive awards are likely to be correlated due to legal precedent, and various economic factors. The CPP is inaccurate in this situation. In this investigation, the CPP is modified to allow dependence among the compounding variables in an effort to more accurately model the claim awards. Specifically, it is assumed that the successive claim awards form an Autoregressive Integrated moving Average (ARIMA) process. The justification and use of this model is illustrated using actual asbestosis claim c ost data collected from Naval Shipyards....ARIMA models, Hazardous materials exposure, Asbestosis, Central limit thereom for dependent random variables.


Descriptors :   *STOCHASTIC PROCESSES , *TOXIC HAZARDS , *COST MODELS , *INSURANCE , *COMPENSATION , *COST ANALYSIS , INDUSTRIES , HAZARDOUS MATERIALS , SHIPYARDS , THEOREMS , POISSON DENSITY FUNCTIONS , AWARDS , PUBLIC HEALTH , ASBESTOS , EXPOSURE(PHYSIOLOGY) , ECONOMICS , RANDOM VARIABLES , VARIATIONS


Subject Categories : Economics and Cost Analysis
      Toxicology


Distribution Statement : APPROVED FOR PUBLIC RELEASE