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Moments of claims in a Markovian environment

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  • Kim, Bara
  • Kim, Hwa-Sung

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  • Kim, Bara & Kim, Hwa-Sung, 2007. "Moments of claims in a Markovian environment," Insurance: Mathematics and Economics, Elsevier, vol. 40(3), pages 485-497, May.
    • Handle: RePEc:eee:insuma:v:40:y:2007:i:3:p:485-497
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    References listed on IDEAS

    as
    1. Ji‐Wook Jang, 2004. "Martingale Approach for Moments of Discounted Aggregate Claims," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 71(2), pages 201-211, June.
    2. Delbaen, F. & Haezendonck, J., 1987. "Classical risk theory in an economic environment," Insurance: Mathematics and Economics, Elsevier, vol. 6(2), pages 85-116, April.
    3. 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.
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    Cited by:

    1. Elliott, Robert J. & Chen, Zhiping & Duan, Qihong, 2009. "Insurance claims modulated by a hidden Brownian marked point process," Insurance: Mathematics and Economics, Elsevier, vol. 45(2), pages 163-172, October.
    2. Ren, Jiandong, 2012. "A multivariate aggregate loss model," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 402-408.
    3. Siti Norafidah Mohd Ramli & Jiwook Jang, 2014. "Neumann Series on the Recursive Moments of Copula-Dependent Aggregate Discounted Claims," Risks, MDPI, vol. 2(2), pages 1-16, May.
    4. 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.
    5. Lesław Gajek & Marcin Rudź, 2020. "Finite-horizon general insolvency risk measures in a regime-switching Sparre Andersen model," Methodology and Computing in Applied Probability, Springer, vol. 22(4), pages 1507-1528, December.
    6. Hyunjoo Yoo & Bara Kim & Jeongsim Kim & Jiwook Jang, 2020. "Transform approach for discounted aggregate claims in a risk model with descendant claims," Annals of Operations Research, Springer, vol. 293(1), pages 175-192, October.

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