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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, 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.
Details
- Language :
- English
- ISSN :
- 25900374
- Volume :
- 11
- Issue :
- 100168-
- Database :
- Directory of Open Access Journals
- Journal :
- Results in Applied Mathematics
- Publication Type :
- Academic Journal
- Accession number :
- edsdoj.3b11d237935d4f2697fb6a43da4c1941
- Document Type :
- article
- Full Text :
- https://doi.org/10.1016/j.rinam.2021.100168