Covariance of discounted compound renewal sums with a stochastic interest rate
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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
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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
