Moments of compound renewal sums with discounted claims

Citations

Cited by:

1. Angelos Dassios & Jiwook Jang & Hongbiao Zhao, 2019. "A Generalised CIR Process with Externally-Exciting and Self-Exciting Jumps and Its Applications in Insurance and Finance," Risks, MDPI, vol. 7(4), pages 1-18, October.
2. Wu, Yang-Che & Chung, San-Lin, 2010. "Catastrophe risk management with counterparty risk using alternative instruments," Insurance: Mathematics and Economics, Elsevier, vol. 47(2), pages 234-245, October.
3. Castañer, A. & Claramunt, M.M. & Lefèvre, C. & Loisel, S., 2015. "Discrete Schur-constant models," Journal of Multivariate Analysis, Elsevier, vol. 140(C), pages 343-362.
   • Anna Castañer & Maria Mercè Claramunt & Claude Lefèvre & Stéphane Loisel, 2014. "Discrete Schur-constant models," Working Papers hal-01081756, HAL.
4. Chi, Yichun & Yang, Jingping & Qi, Yongcheng, 2009. "Decomposition of a Schur-constant model and its applications," Insurance: Mathematics and Economics, Elsevier, vol. 44(3), pages 398-408, June.
5. Ya Fang Wang & José Garrido & Ghislain Léveillé, 2018. "The Distribution of Discounted Compound PH–Renewal Processes," Methodology and Computing in Applied Probability, Springer, vol. 20(1), pages 69-96, March.
6. Cossette, Hélène & Landriault, David & Marceau, Etienne & Moutanabbir, Khouzeima, 2012. "Analysis of the discounted sum of ascending ladder heights," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 393-401.
7. 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.
8. Jang, Ji-Wook & Krvavych, Yuriy, 2004. "Arbitrage-free premium calculation for extreme losses using the shot noise process and the Esscher transform," Insurance: Mathematics and Economics, Elsevier, vol. 35(1), pages 97-111, August.
9. 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.
10. Zhang, Zhehao, 2018. "Renewal sums under mixtures of exponentials," Applied Mathematics and Computation, Elsevier, vol. 337(C), pages 281-301.
11. Landy Rabehasaina & Jae-Kyung Woo, 2018. "On a multivariate renewal-reward process involving time delays and discounting: applications to IBNR processes and infinite server queues," Queueing Systems: Theory and Applications, Springer, vol. 90(3), pages 307-350, December.
12. Zhang, Zhehao, 2019. "On the stochastic equation L(Z)=L[V(X+Z)] and properties of Mittag–Leffler distributions," Applied Mathematics and Computation, Elsevier, vol. 361(C), pages 365-376.
13. Cheung, Eric C.K., 2013. "Moments of discounted aggregate claim costs until ruin in a Sparre Andersen risk model with general interclaim times," Insurance: Mathematics and Economics, Elsevier, vol. 53(2), pages 343-354.
14. 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.
15. Jang, Jiwook & Dassios, Angelos & Zhao, Hongbiao, 2018. "Moments of renewal shot-noise processes and their applications," LSE Research Online Documents on Economics 87428, London School of Economics and Political Science, LSE Library.
16. Ghislain Léveillé & Emmanuel Hamel, 2018. "Conditional, Non-Homogeneous and Doubly Stochastic Compound Poisson Processes with Stochastic Discounted Claims," Methodology and Computing in Applied Probability, Springer, vol. 20(1), pages 353-368, March.
17. Daniel J. Geiger & Akim Adekpedjou, 2022. "Analysis of IBNR Liabilities with Interevent Times Depending on Claim Counts," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 815-829, June.
18. Castañer, A. & Claramunt, M.M. & Lefèvre, C. & Loisel, S., 2015. "Discrete Schur-constant models," Journal of Multivariate Analysis, Elsevier, vol. 140(C), pages 343-362.
    • Anna Castañer & Maria Mercè Claramunt & Claude Lefèvre & Stéphane Loisel, 2015. "Discrete Schur-constant models," Post-Print hal-01081756, HAL.
19. Dassios, Angelos & Jang, Jiwook & Zhao, Hongbiao, 2019. "A generalised CIR process with externally-exciting and self-exciting jumps and its applications in insurance and finance," LSE Research Online Documents on Economics 102043, London School of Economics and Political Science, LSE Library.
20. Marri, Fouad & Furman, Edward, 2012. "Pricing compound Poisson processes with the Farlie–Gumbel–Morgenstern dependence structure," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 151-157.
21. Woo, Jae-Kyung, 2016. "On multivariate discounted compound renewal sums with time-dependent claims in the presence of reporting/payment delays," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 354-363.
22. Sharifah Farah Syed Yusoff Alhabshi & Zamira Hasanah Zamzuri & Siti Norafidah Mohd Ramli, 2021. "Monte Carlo Simulation of the Moments of a Copula-Dependent Risk Process with Weibull Interwaiting Time," Risks, MDPI, vol. 9(6), pages 1-21, June.
23. 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.
24. Eric C.K. Cheung & Haibo Liu & Jae-Kyung Woo, 2015. "On the Joint Analysis of the Total Discounted Payments to Policyholders and Shareholders: Dividend Barrier Strategy," Risks, MDPI, vol. 3(4), pages 1-24, November.
25. 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.
26. K. M. D. Chan & M. R. H. Mandjes, 2023. "A Versatile Stochastic Dissemination Model," Methodology and Computing in Applied Probability, Springer, vol. 25(3), pages 1-25, September.
27. Ren, Jiandong, 2012. "A multivariate aggregate loss model," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 402-408.