IDEAS home Printed from https://ideas.repec.org/h/ito/pchaps/200892.html
   My bibliography  Save this book chapter

Moments of the Discounted Aggregate Claims with Delay Inter-Occurrence Distribution and Dependence Introduced by a FGM Copula

In: Probability, Combinatorics and Control

Author

Listed:
  • Franck Adekambi

Abstract

In this chapter, with renewal argument, we derive higher simple moments of the Discounted Compound Delay Renewal Risk Process (DCDRRP) when introducing dependence between the inter-occurrence time and the subsequent claim size. To illustrate our results, we assume that the inter-occurrence time is following a delay-Poisson process and the claim amounts is following a mixture of Exponential distribution, we then provide numerical results for the first two moments. The dependence structure between the inter-occurrence time and the subsequent claim size is defined by a Farlie-Gumbel-Morgenstern copula. Assuming that the claim distribution has finite moments, we obtain a general formula for all the moments of the DCDRRP process.

Suggested Citation

  • Franck Adekambi, 2020. "Moments of the Discounted Aggregate Claims with Delay Inter-Occurrence Distribution and Dependence Introduced by a FGM Copula," Chapters, in: Andrey Kostogryzov & Victor Korolev (ed.), Probability, Combinatorics and Control, IntechOpen.
    • Handle: RePEc:ito:pchaps:200892
    DOI: 10.5772/intechopen.88699
    as

    Download full text from publisher

    File URL: https://www.intechopen.com/chapters/68747
    Download Restriction: no
    File URL: https://libkey.io/10.5772/intechopen.88699?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Keywords

    compound delay-Poisson process; discounted aggregate claims; moments; FGM copula; constant interest rate;
    All these keywords.

    JEL classification:

    • C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General

    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:ito:pchaps:200892. 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.

    We have no bibliographic references for this item. You can help adding them by using 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: Slobodan Momcilovic (email available below). General contact details of provider: http://www.intechopen.com .

    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.