Joint moments of discounted compound renewal sums

DOI10.1080/03461238.2010.503426MaRDI QIDQ2866296zbMATH OpenOpenAlexFDO

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/10.1080/03461238.2010.503426

zbMATH Keywords

renewal processstochastic interest ratejoint momentsdiscounted aggregate claimsItō process

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10) Renewal theory (60K05)

Recommendations

• Covariance of discounted compound renewal sums with a stochastic interest rate
• Recursive Moments of Compound Renewal Sums with Discounted Claims
• Bivariate compound renewal sums with discounted claims
• Joint moments of discounted claims and discounted perturbation until ruin in the compound Poisson risk model with diffusion
• Moment generating functions of compound renewal sums with discounted claims

Cites work

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

Cited in

(17)

• Renewal sums under mixtures of exponentials
• Recursive Moments of Compound Renewal Sums with Discounted Claims
• A note on discounted compound renewal sums under dependency
• The construction of a quadratic predictor of the discounted renewal claims with dependence
• Covariance of discounted compound renewal sums with a stochastic interest rate
• Conditional increments of aggregate discounted claims with a trend
• Joint moments of discounted compound renewal sums
• Joint moments of the total discounted gains and losses in the renewal risk model with two-sided jumps
• On the Laplace transform of the aggregate discounted claims with Markovian arrivals
• A compound renewal model for medical malpractice insurance
• Moments of discounted aggregate claims with dependence based on Spearman copula
• Analysis of IBNR claims in renewal insurance models
• Bivariate compound renewal sums with discounted claims
• A compound trend renewal model for medical/professional liabilities
• Moment generating functions of compound renewal sums with discounted claims
• Asymptotic correlation structure of discounted incurred but not reported claims under fractional Poisson arrival process
• On the analysis of time dependent claims in a class of birth process claim count models

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