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Beta transform and discounted aggregate claims under dependency

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  • Zhang, Zhehao
  • Li, Shuanming

Abstract

This paper starts with the Beta transform and discusses the stochastic ordering properties of this transform under different parameter settings. Later, the distribution of discounted aggregate claims in a compound renewal risk model with dependence between inter-claim times and claim sizes is studied. Recursive formulas for moments and joint moments are expressed in terms of the Beta transform of the inter-claim times and claim severities. Particularly, our moments formula is more explicit and computation-friendly than earlier ones in the references. Lastly, numerical examples are provided to illustrate our results.

Suggested Citation

  • Zhang, Zhehao & Li, Shuanming, 2019. "Beta transform and discounted aggregate claims under dependency," Annals of Actuarial Science, Cambridge University Press, vol. 13(2), pages 241-267, September.
    • Handle: RePEc:cup:anacsi:v:13:y:2019:i:02:p:241-267_00
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