On a multivariate renewal-reward process involving time delays and discounting: Applications to IBNR process and infinite server queues

Landy Rabehasaina (1) , Jae-Kyung Woo (2)

1 LMB - Laboratoire de Mathématiques de Besançon (UMR 6623)
2 School of Risk and Actuarial Studies, University of New South Wales

This paper considers a particular renewal-reward process with multivariate discounted rewards (inputs) where the arrival epochs are adjusted by adding some random delays. Then this accumulated reward can be regarded as multivariate discounted Incurred But Not Reported (IBNR) claims in actuarial science and some important quantities studied in queueing theory such as the number of customers in G/G/infinity queues with correlated batch arrivals. We study the long term behavior of this process as well as its moments. Asymptotic expressions and bounds for the quantities of our interest, and also convergence result for the distribution of this process after renormalization, are studied, when interarrival times and time delays are light tailed. Next, assuming exponentially distributed delays, we derive some explicit and numerically feasible expressions for the limiting joint moments. In such case, for an innite server queues with renewal arrival process, we obtain limiting results on the expectation of the workload, and the covariance of queue size and workload. Finally, some queueing theoretic applications are provided MSC classification: 60G50, 60K30, 62P05, 60K25

Mots clés: Workload; Infinite server queues; Incurred But Not Reported (IBNR) claims; Renewal-reward process; Multivariate rewards; Convergence in distribution

Domaines: Probabilités [math.PR]

Landy Rabehasaina, Jae-Kyung Woo. On a multivariate renewal-reward process involving time delays and discounting: Applications to IBNR process and infinite server queues. Queueing Systems, 2018, 90 (3), pp.307-350. ⟨hal-01405474v3⟩