Covariance of discounted compound renewal sums with a stochastic interest rate

DOI10.1080/03461231003665632zbMATH Open1277.60143OpenAlexW2138862737MaRDI QIDQ2866282FDOQ2866282

Authors: Ghislain Léveillé, Franck Adékambi 

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

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• Joint moments of discounted compound renewal sums
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zbMATH Keywords

renewal processstochastic interest ratejoint momentsdiscounted aggregate claimsasymptotic and finite-time momentsItō process

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30) Renewal theory (60K05)

Cites Work

• Ruin estimates under interest force
• The total claims distribution under inflationary conditions
• On the renewal risk process with stochastic interest
• Recursive Moments of Compound Renewal Sums with Discounted Claims
• Moments of compound renewal sums with discounted claims
• 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

Cited In (14)

• Renewal sums under mixtures of exponentials
• The construction of a quadratic predictor of the discounted renewal claims with dependence
• A note on discounted compound renewal sums under dependency
• Covariance between the forward recurrence time and the number of renewals
• On multivariate discounted compound renewal sums with time-dependent claims in the presence of reporting/payment delays
• Joint moments of discounted compound renewal sums
• Analysis of IBNR liabilities with interevent times depending on claim counts
• Moments of discounted aggregate claims with dependence based on Spearman copula
• A compound renewal model for medical malpractice insurance
• Analysis of IBNR claims in renewal insurance models
• Bivariate compound renewal sums with discounted claims
• On a multivariate renewal-reward process involving time delays and discounting: applications to IBNR processes and infinite server queues
• Conditional, non-homogeneous and doubly stochastic compound Poisson processes with stochastic discounted claims
• The distribution of discounted compound PH-renewal processes

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