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

DOI10.1007/S11009-017-9555-6zbMATH Open1384.62301OpenAlexW2600631485MaRDI QIDQ1703033FDOQ1703033

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

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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)

Cites Work

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• Ruin probabilities and aggregrate claims distributions for shot noise Cox processes
• Non-life insurance mathematics. An introduction with the Poisson process
• The total claims distribution under inflationary conditions
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• A saddlepoint approximation to the distribution of inhomogeneous discounted compound Poisson processes
• Recursive Moments of Compound Renewal Sums with Discounted Claims
• Covariance of discounted compound renewal sums with a stochastic interest rate
• A compound renewal model for medical malpractice insurance
• Moment generating functions of compound renewal sums with discounted claims
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• Doubly periodic non-homogeneous Poisson models for hurricane data
• Introduction to probability models
• The distribution of the interval between events of a Cox process with shot noise intensity

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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