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Some specific density functions of aggregated discounted claims with dependent risks
- Source :
- Results in Applied Mathematics, Vol 11, Iss, Pp 100168-(2021)
- Publication Year :
- 2021
- Publisher :
- Elsevier BV, 2021.
-
Abstract
- This paper obtains some specific density functions for aggregated discounted claims where the claim amounts are dependent, or the inter-claim times are dependent, or the claim amounts and the claim arrival process are both dependent. The dependence is structured through mixing, and the claim arrival process studied is either an ordinary Poisson process or a mixed Poisson process. Closed form densities are obtained for gamma, generalized exponential, generalized Pareto and beta mixing, and an important use of them is illustrated.
- Subjects :
- Arrival process
Applied Mathematics
Dependent risks
Poisson process
Mixed Poisson process
Specific density
Exponential function
Cox process
symbols.namesake
Mixing
Generalized Pareto distribution
QA1-939
symbols
Applied mathematics
Beta (velocity)
Special functions and transforms
Discounted claims
Mathematics
Mixing (physics)
Subjects
Details
- ISSN :
- 25900374
- Volume :
- 11
- Database :
- OpenAIRE
- Journal :
- Results in Applied Mathematics
- Accession number :
- edsair.doi.dedup.....9d9c3e51350b45409086a6ded277ad20