We study the recursive moments of aggregate discounted claims, where the dependence between the inter-claim time and the subsequent claim size is considered. Using the general expression for the m-th order moment proposed by Léveillé and Garrido (Scand. Actuar. J. 2001, 2, 98-110), which takes...

The article presents a collective risk model for the insurance claims. The objective is to estimate a premium, which is defined as a functional specified up to unknown parameters. For this purpose, the Bayesian methodology, which combines the prior knowledge about certain unknown parameters with...

In this paper, we study a generalised CIR process with externally-exciting and self-exciting jumps, and focus on the distributional properties and applications of this process and its aggregated process. The aim of the paper is to introduce a more general process that includes many models in the...

The purposes of the study are to substantiate the influence of the specific features of insurance on the set of management accounting objects and to develop a mechanism of preparing the relevant information for insurance risk management. Management accounting allows generating reports, specially...