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.
| Original language | English |
|---|---|
| Pages (from-to) | 57-71 |
| Number of pages | 15 |
| Journal | Risk and Decision Analysis |
| Volume | 9 |
| Issue number | 2-4 |
| DOIs | |
| Publication status | Published - 14 Dec 2023 |
Keywords
- Discounted aggregate claims
- dependency
- higher joint moments
- interest rate
- joint moments
- linear predictor
- renewal process
- trend renewal process
ASJC Scopus subject areas
- Statistics and Probability
- Finance
- Economics and Econometrics
- Statistics, Probability and Uncertainty