Covariance of discounted compound renewal sums with a stochastic interest rate

DOI10.1080/03461231003665632zbMath1277.60143OpenAlexW2138862737MaRDI QIDQ2866282

Franck Adékambi, Ghislain Léveillé

Publication date: 13 December 2013

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

Full work available at URL: https://doi.org/10.1080/03461231003665632

zbMATH Keywords

stochastic interest raterenewal processItō processjoint momentsdiscounted aggregate claimsasymptotic and finite-time moments

Mathematics Subject Classification ID

Related Items (12)

Analysis of IBNR liabilities with interevent times depending on claim counts ⋮ 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 ⋮ The distribution of discounted compound PH-renewal processes ⋮ Conditional, non-homogeneous and doubly stochastic compound Poisson processes with stochastic discounted claims ⋮ A note on discounted compound renewal sums under dependency ⋮ A compound renewal model for medical malpractice insurance ⋮ On multivariate discounted compound renewal sums with time-dependent claims in the presence of reporting/payment delays ⋮ On a multivariate renewal-reward process involving time delays and discounting: applications to IBNR processes and infinite server queues ⋮ Renewal sums under mixtures of exponentials ⋮ The construction of a quadratic predictor of the discounted renewal claims with dependence

Cites Work

• On the renewal risk process with stochastic interest
• Moments of claims in a Markovian environment
• Classical risk theory in an economic environment
• Upper bounds for ultimate ruin probabilities in the Sparre Andersen model with interest.
• Limit theorems for the present value of the surplus of an insurance portfolio
• Ruin estimates under interest force
• Recursive Moments of Compound Renewal Sums with Discounted Claims
• The total claims distribution under inflationary conditions
• Moments of compound renewal sums with discounted claims

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