Covariance of discounted compound renewal sums with a stochastic interest rate
From MaRDI portal
Publication:2866282
DOI10.1080/03461231003665632zbMath1277.60143MaRDI 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
stochastic interest rate; renewal process; Itō process; joint moments; discounted aggregate claims; asymptotic and finite-time moments
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G30: Interest rates, asset pricing, etc. (stochastic models)
60K05: Renewal theory
Related Items
Analysis of IBNR claims in renewal insurance models, The construction of a quadratic predictor of the discounted renewal claims with dependence, A compound renewal model for medical malpractice insurance, The distribution of discounted compound PH-renewal processes, Conditional, non-homogeneous and doubly stochastic compound Poisson processes with stochastic discounted claims, Bivariate compound renewal sums with discounted claims, Analysis of IBNR liabilities with interevent times depending on claim counts, Moments of discounted aggregate claims with dependence based on Spearman copula, 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, A note on discounted compound renewal sums under dependency, On multivariate discounted compound renewal sums with time-dependent claims in the presence of reporting/payment delays
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