The distribution of discounted compound PH-renewal processes
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Publication:1703019
DOI10.1007/s11009-016-9531-6zbMath1384.62303OpenAlexW2556924772MaRDI QIDQ1703019
Publication date: 1 March 2018
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11009-016-9531-6
approximationsinverse Laplace transformdifferential systemsrisk measuresPH distributiondiscounted aggregate claimsPH renewal processcompound renewal sumsEsscher's premiums
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Related Items (6)
Moments of discounted aggregate claims with dependence based on Spearman copula ⋮ Conditional increments of aggregate discounted claims with a trend ⋮ Some specific density functions of aggregated discounted claims with dependent risks ⋮ Compound trend renewal process with discounted claims: a unified approach ⋮ On the stochastic equation \(\mathcal{L}(Z) = \mathcal{L} [V(X + Z)\) and properties of Mittag-Leffler distributions] ⋮ Renewal sums under mixtures of exponentials
Uses Software
Cites Work
- Jump diffusion processes and their applications in insurance and finance
- Covariance of discounted compound renewal sums with a stochastic interest rate
- Renewal processes of phase type
- Introduction to Matrix Analytic Methods in Stochastic Modeling
- Applied Probability and Queues
- The total claims distribution under inflationary conditions
- Moment generating functions of compound renewal sums with discounted claims
- Moments of compound renewal sums with discounted claims
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