Aggregate claims when their sizes and arrival times are dependent and governed by a general point process

Abstract

We suggest a general method for analyzing aggregate insurance claims that arrive according to a very general point process, known in the literature as the order statistic point process, which includes as special cases the classical compound Poisson and the Sparre Andersen models, among many others. We also allow for the process to govern claim sizes via a general dependence structure that relates claim sizes to claim and/or inter-claim times. The obtained general results are supplemented with special closed-form illustrative formulas, that also exemplify the potential for future research in the area.