Pricing compound Poisson processes with the Farlie-Gumbel-Morgenstern dependence structure

DOI10.1016/j.insmatheco.2012.01.007zbMath1284.91257MaRDI QIDQ2444715

Fouad Marri, Edward Furman

Publication date: 10 April 2014

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2012.01.007

zbMATH Keywords

compound Poisson processes; actuarial pricing; copula-based dependence; Esscher pricing functional

Mathematics Subject Classification ID

62H20: Measures of association (correlation, canonical correlation, etc.)

60K10: Applications of renewal theory (reliability, demand theory, etc.)

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