The distribution of discounted compound PH-renewal processes

DOI10.1007/s11009-016-9531-6zbMath1384.62303OpenAlexW2556924772MaRDI QIDQ1703019

Peng Zhang

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

zbMATH Keywords

approximationsinverse Laplace transformdifferential systemsrisk measuresPH distributiondiscounted aggregate claimsPH renewal processcompound renewal sumsEsscher's premiums

Mathematics Subject Classification ID

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

• Maple

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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