The construction of a quadratic predictor of the discounted renewal claims with dependence

Franck Adékambi

doi:10.3233/RDA-180052

The construction of a quadratic predictor of the discounted renewal claims with dependence

Franck Adékambi

School of Economics

Research output: Contribution to journal › Article › peer-review

Abstract

In this paper we propose a quadratic predictor of the compound discounted renewal aggregate claims when taking into account dependence within the inter-occurrence times. We compare the accuracy of the proposed quadratic predictor to the simulated value of that sum, by using specific mixture of exponential distributions to define the dependence structure between the inter-occurrence times.

Original language	English
Pages (from-to)	25-37
Number of pages	13
Journal	Risk and Decision Analysis
Volume	8
Issue number	1-2
DOIs	https://doi.org/10.3233/RDA-180052
Publication status	Published - 2020

Keywords

Archimedean Copula
Discounted compound renewal aggregate sums
moments
quadratic predictor
random interest rate

ASJC Scopus subject areas

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

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10.3233/RDA-180052

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The construction of a quadratic predictor of the discounted renewal claims with dependence

Abstract

Keywords

ASJC Scopus subject areas

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