Conditional, non-homogeneous and doubly stochastic compound Poisson processes with stochastic discounted claims

DOI10.1007/S11009-017-9555-6MaRDI QIDQ1703033zbMATH OpenOpenAlexFDO

Authors Ghislain Léveillé, Emmanuel Hamel

Publication date 1 March 2018

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11009-017-9555-6

zbMATH Keywords

intensity functionrenewal processnon-homogeneous Poisson processstochastic interest ratejoint and raw momentscompound Cox processaggregate discounted claims

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

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Cites work

• scientific article; zbMATH DE number 1249326 (Why is no real title available?)
• scientific article; zbMATH DE number 2122817 (Why is no real title available?)
• scientific article; zbMATH DE number 6971094 (Why is no real title available?)
• scientific article; zbMATH DE number 3345319 (Why is no real title available?)
• A compound renewal model for medical malpractice insurance
• A saddlepoint approximation to the distribution of inhomogeneous discounted compound Poisson processes
• Covariance of discounted compound renewal sums with a stochastic interest rate
• Doubly periodic non-homogeneous Poisson models for hurricane data
• Introduction to probability models
• Moment generating functions of compound renewal sums with discounted claims
• Non-life insurance mathematics. An introduction with the Poisson process
• Recursive Moments of Compound Renewal Sums with Discounted Claims
• Ruin probabilities and aggregrate claims distributions for shot noise Cox processes
• The distribution of the interval between events of a Cox process with shot noise intensity
• The total claims distribution under inflationary conditions

Cited in

(7)

• Introducing the non-homogeneous compound-birth process
• Covariance of discounted compound renewal sums with a stochastic interest rate
• Closed-form formulas for the distribution of the jumps of doubly-stochastic Poisson processes
• Compound trend renewal process with discounted claims: a unified approach
• Bivariate compound renewal sums with discounted claims
• Asymptotic correlation structure of discounted incurred but not reported claims under fractional Poisson arrival process
• Some specific density functions of aggregated discounted claims with dependent risks

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