Moment generating functions of compound renewal sums with discounted claims
From MaRDI portal
Publication:5894381
DOI10.1080/03461230902745842zbMath1226.91027OpenAlexW1972253250MaRDI QIDQ5894381
No author found.
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
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
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
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Moments of claims in a Markovian environment
- Jump diffusion processes and their applications in insurance and finance
- Classical risk theory in an economic environment
- Computational methods in risk theory: a matrix-algorithmic approach
- 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
- On a stochastic difference equation and a representation of non–negative infinitely divisible random variables
- An alternative characterization for matrix exponential distributions
- Applied Probability and Queues
- A Review on Phase-type Distributions and their Use in Risk Theory
- Moments of compound renewal sums with discounted claims
This page was built for publication: Moment generating functions of compound renewal sums with discounted claims