Joint moments of discounted compound renewal sums

DOI10.1080/03461238.2010.503426zbMath1277.91088MaRDI QIDQ2866296

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/10.1080/03461238.2010.503426

zbMATH Keywords

stochastic interest rate; renewal process; Itō process; joint moments; discounted aggregate claims

Mathematics Subject Classification ID

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

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, Asymptotic correlation structure of discounted incurred but not reported claims under fractional Poisson arrival process, A compound trend renewal model for medical/professional liabilities, Bivariate compound renewal sums with discounted claims, Moments of discounted aggregate claims with dependence based on Spearman copula, Renewal sums under mixtures of exponentials, A note on discounted compound renewal sums under dependency, On the analysis of time dependent claims in a class of birth process claim count models, Joint moments of discounted compound renewal sums

Cites Work

• Moments of claims in a Markovian environment
• Classical risk theory in an economic environment
• Recursive Moments of Compound Renewal Sums with Discounted Claims
• Joint moments of discounted compound renewal sums
• The total claims distribution under inflationary conditions
• Moments of compound renewal sums with discounted claims