A note on the recursive joint moments of discounted compound dependent renewal sums

Author:

Adékambi Franck1ORCID,Essiomle Kokou2ORCID

Affiliation:

1. School of Economics, University of Johannesburg, , South Africa E-mail: fadekambi@uj.ac.za

2. School of Economics, University of Johannesburg, , South Africa E-mail: 201900490@student.uj.ac.za

Abstract

In this paper, we present recursive joint moments and a linear predictor of aggregate discounted claims under dependency for an ordinary or delayed renewal claims number process. In addition, we present recursive formulas for the joint moments in the trend renewal process. We compare the predictive value of our linear predictor with the simulated value of exponential and Erlang (2,2) claims inter-occurrence times with constant interest rate.

Publisher

IOS Press

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Finance,Statistics and Probability

Reference20 articles.

1. Integral and differential equations for the moments of multistate models in health insurance;Adékambi;Scandinavian Actuarial Journal,2017

2. Asymptotic tail probability of the discounted aggregate claims under homogeneous, non-homogeneous and mixed poisson risk model;Adékambi;Risks,2021

3. On the discounted aggregate claim costs until ruin in dependent Sparre Andersen risk processes;Cheung;Scandinavian Actuarial Journal,2016

4. Classical risk theory in an economic environment;Delbaen;Insurance: Mathematics and Economics,1987

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