To assess the required capital for insurance companies, which usually have several business lines, estimates of the joint tail probabilities of aggregate losses are needed. Under the collective risk model, these aggregate losses are sums of random number of random variables, whose distributions...

This paper proposes a model for the claim occurrence, reporting, and handling process of insurance companies. It is assumed that insurance claims occur according to a Markovian arrival process. An incurred claim goes through some stages of a claim reporting and handling process, such as Incurred...