IDEAS home Printed from https://ideas.repec.org/a/eee/insuma/v28y2001i2p217-231.html
   My bibliography  Save this article

Moments of compound renewal sums with discounted claims

Author

Listed:
  • Leveille, Ghislain
  • Garrido, Jose

Abstract

No abstract is available for this item.

Suggested Citation

  • Leveille, Ghislain & Garrido, Jose, 2001. "Moments of compound renewal sums with discounted claims," Insurance: Mathematics and Economics, Elsevier, vol. 28(2), pages 217-231, April.
    • Handle: RePEc:eee:insuma:v:28:y:2001:i:2:p:217-231
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167-6687(00)00078-0
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. David Dickson, 1998. "On a Class of Renewal Risk Processes," North American Actuarial Journal, Taylor & Francis Journals, vol. 2(3), pages 60-68.
    2. Sundt, Bjorn & Teugels, Jozef L., 1995. "Ruin estimates under interest force," Insurance: Mathematics and Economics, Elsevier, vol. 16(1), pages 7-22, April.
    3. Sundt, Bjorn & Teugels, Jozef L., 1997. "The adjustment function in ruin estimates under interest force," Insurance: Mathematics and Economics, Elsevier, vol. 19(2), pages 85-94, April.
    4. Delbaen, F. & Haezendonck, J., 1987. "Classical risk theory in an economic environment," Insurance: Mathematics and Economics, Elsevier, vol. 6(2), pages 85-116, April.
    5. Taylor, G. C., 1979. "Probability of Ruin under Inflationary Conditions or under Experience Rating," ASTIN Bulletin, Cambridge University Press, vol. 10(2), pages 149-162, March.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Wu, Rong & Wang, Guojing & Zhang, Chunsheng, 2005. "On a joint distribution for the risk process with constant interest force," Insurance: Mathematics and Economics, Elsevier, vol. 36(3), pages 365-374, June.
    2. Yuen, Kam C. & Wang, Guojing & Li, Wai K., 2007. "The Gerber-Shiu expected discounted penalty function for risk processes with interest and a constant dividend barrier," Insurance: Mathematics and Economics, Elsevier, vol. 40(1), pages 104-112, January.
    3. Franck Adékambi & Kokou Essiomle, 2021. "Asymptotic Tail Probability of the Discounted Aggregate Claims under Homogeneous, Non-Homogeneous and Mixed Poisson Risk Model," Risks, MDPI, vol. 9(7), pages 1-22, June.
    4. Paulsen, Jostein, 1998. "Ruin theory with compounding assets -- a survey," Insurance: Mathematics and Economics, Elsevier, vol. 22(1), pages 3-16, May.
    5. Woo, Jae-Kyung & Cheung, Eric C.K., 2013. "A note on discounted compound renewal sums under dependency," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 170-179.
    6. Albrecher, Hansjorg & Teugels, Jozef L. & Tichy, Robert F., 2001. "On a gamma series expansion for the time-dependent probability of collective ruin," Insurance: Mathematics and Economics, Elsevier, vol. 29(3), pages 345-355, December.
    7. Dickson, David C. M. & Waters, Howard R., 1999. "Ruin probabilities with compounding assets," Insurance: Mathematics and Economics, Elsevier, vol. 25(1), pages 49-62, September.
    8. Yuen, Kam C. & Wang, Guojing & Wu, Rong, 2006. "On the renewal risk process with stochastic interest," Stochastic Processes and their Applications, Elsevier, vol. 116(10), pages 1496-1510, October.
    9. Phung Duy Quang, 2017. "Upper Bounds for Ruin Probability in a Controlled Risk Process under Rates of Interest with Homogenous Markov Chains," Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, vol. 6(3), pages 1-4.
    10. Konstantinides, Dimitrios & Tang, Qihe & Tsitsiashvili, Gurami, 2002. "Estimates for the ruin probability in the classical risk model with constant interest force in the presence of heavy tails," Insurance: Mathematics and Economics, Elsevier, vol. 31(3), pages 447-460, December.
    11. Wang, Rongming & Yang, Hailiang & Wang, Hanxing, 2004. "On the distribution of surplus immediately after ruin under interest force and subexponential claims," Insurance: Mathematics and Economics, Elsevier, vol. 35(3), pages 703-714, December.
    12. Jang, Jiwook, 2007. "Jump diffusion processes and their applications in insurance and finance," Insurance: Mathematics and Economics, Elsevier, vol. 41(1), pages 62-70, July.
    13. Jostein Paulsen, 2008. "Ruin models with investment income," Papers 0806.4125, arXiv.org, revised Dec 2008.
    14. Rulliere, Didier & Loisel, Stephane, 2005. "The win-first probability under interest force," Insurance: Mathematics and Economics, Elsevier, vol. 37(3), pages 421-442, December.
    15. Jasiulewicz, Helena, 2001. "Probability of ruin with variable premium rate in a Markovian environment," Insurance: Mathematics and Economics, Elsevier, vol. 29(2), pages 291-296, October.
    16. Cai, Jun & Dickson, David C. M., 2003. "Upper bounds for ultimate ruin probabilities in the Sparre Andersen model with interest," Insurance: Mathematics and Economics, Elsevier, vol. 32(1), pages 61-71, February.
    17. Diasparra, Maikol & Romera, Rosario, 2006. "Optimal policies for discrete time risk processes with a Markov chain investment model," DES - Working Papers. Statistics and Econometrics. WS ws062408, Universidad Carlos III de Madrid. Departamento de Estadística.
    18. Huang, Tao & Zhao, Ruiqing & Tang, Wansheng, 2009. "Risk model with fuzzy random individual claim amount," European Journal of Operational Research, Elsevier, vol. 192(3), pages 879-890, February.
    19. Shuanming Li & Yi Lu, 2018. "On the Moments and the Distribution of Aggregate Discounted Claims in a Markovian Environment," Risks, MDPI, vol. 6(2), pages 1-16, May.
    20. Sheldon Lin, X. & E. Willmot, Gordon & Drekic, Steve, 2003. "The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function," Insurance: Mathematics and Economics, Elsevier, vol. 33(3), pages 551-566, December.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:insuma:v:28:y:2001:i:2:p:217-231. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/505554 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.