A note on discounted compound renewal sums under dependency
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Publication:2442513
DOI10.1016/j.insmatheco.2012.11.005zbMath1284.60158MaRDI QIDQ2442513
Eric C. K. Cheung, Jae-Kyung Woo
Publication date: 3 April 2014
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2012.11.005
copula; renewal function; dependency; Sparre Andersen risk process; discounted aggregate claims; higher moments; delayed renewal process; compound renewal sums
62H05: Characterization and structure theory for multivariate probability distributions; copulas
60K05: Renewal theory
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