Covariance of discounted compound renewal sums with a stochastic interest rate

Keyphrases

• Stochastic Interest Rate 100%
• Number of Claims 100%
• Vasicek Interest Rate Model 50%
• Joint Moment 50%
• Discounted Aggregate Claims 50%
• Delayed Renewal Process 50%
• Merton 50%
• Claim Process 50%
• Trivial Extension 50%

Mathematics

• Stochastics 100%
• Covariance 100%
• Explicit Formula 50%
• Risk Process 50%
• Delayed Renewal Process 50%
• Joint Moment 50%
• Trivial Extension 50%