Moment generating functions of compound renewal sums with discounted claims

DOI10.1080/03461230902745842zbMath1226.91027OpenAlexW1972253250MaRDI QIDQ5894381

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Publication date: 26 November 2011

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

Full work available at URL: https://doi.org/10.1080/03461230902745842

Mathematics Subject Classification ID

Related Items (14)

Lapse risk in life insurance: correlation and contagion effects among policyholders' behaviors ⋮ Moments of renewal shot-noise processes and their applications ⋮ Analysis of IBNR claims in renewal insurance models ⋮ Conditional increments of aggregate discounted claims with a trend ⋮ 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 new look at the homogeneous risk model ⋮ Discrete Schur-constant models ⋮ Some specific density functions of aggregated discounted claims with dependent risks ⋮ 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

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• Moments of compound renewal sums with discounted claims

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