Covariance of discounted compound renewal sums with a stochastic interest rate

DOI10.1080/03461231003665632zbMath1277.60143OpenAlexW2138862737MaRDI QIDQ2866282

Franck Adékambi, Ghislain Léveillé

Publication date: 13 December 2013

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461231003665632

zbMATH Keywords

stochastic interest raterenewal processItō processjoint momentsdiscounted aggregate claimsasymptotic and finite-time moments

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30) Renewal theory (60K05)

Related Items

Analysis of IBNR liabilities with interevent times depending on claim counts, Moments of discounted aggregate claims with dependence based on Spearman copula, Analysis of IBNR claims in renewal insurance models, Bivariate compound renewal sums with discounted claims, The distribution of discounted compound PH-renewal processes, Conditional, non-homogeneous and doubly stochastic compound Poisson processes with stochastic discounted claims, A note on discounted compound renewal sums under dependency, A compound renewal model for medical malpractice insurance, On multivariate discounted compound renewal sums with time-dependent claims in the presence of reporting/payment delays, On a multivariate renewal-reward process involving time delays and discounting: applications to IBNR processes and infinite server queues, Renewal sums under mixtures of exponentials, The construction of a quadratic predictor of the discounted renewal claims with dependence

Cites Work

• On the renewal risk process with stochastic interest
• Moments of claims in a Markovian environment
• Classical risk theory in an economic environment
• Upper bounds for ultimate ruin probabilities in the Sparre Andersen model with interest.
• Limit theorems for the present value of the surplus of an insurance portfolio
• Ruin estimates under interest force
• Recursive Moments of Compound Renewal Sums with Discounted Claims
• The total claims distribution under inflationary conditions
• Moments of compound renewal sums with discounted claims