Conditional increments of aggregate discounted claims with a trend

DOI10.1080/03461238.2022.2108334MaRDI QIDQ6156009zbMATH OpenOpenAlexFDO

Authors Ghislain Léveillé, Ilie-Radu Mitric

Publication date 9 June 2023

Published in Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03461238.2022.2108334

zbMATH Keywords

age processconditional incrementsincreasing failure ratemomentsnet force of interesttrend renewal processTVaR

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10) Actuarial mathematics (91G05)

Recommendations

• Moment generating functions of compound renewal sums with discounted claims
• Recursive Moments of Compound Renewal Sums with Discounted Claims
• A note on discounted compound renewal sums under dependency
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Cites work

• A compound trend renewal model for medical/professional liabilities
• A short proof of the Doob-Meyer theorem
• Compound trend renewal process with discounted claims: a unified approach
• scientific article; zbMATH DE number 1249326 (Why is no real title available?)
• Insurance pricing and increased limits ratemaking by proportional hazards transforms
• Moment generating functions of compound renewal sums with discounted claims
• Recursive Moments of Compound Renewal Sums with Discounted Claims
• Stochastic orders
• The distribution of discounted compound PH-renewal processes

Cited in

(1)

• Compound trend renewal process with discounted claims: a unified approach

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