Pricing compound Poisson processes with the Farlie–Gumbel–Morgenstern dependence structure

Fouad Marri and Edward Furman

Insurance: Mathematics and Economics, 2012, vol. 51, issue 1, 151-157

Abstract: Convenient expressions for the Esscher pricing functional in the context of the compound Poisson processes with dependent loss amounts and loss inter-arrival times are developed. To this end, the moment generating function of the aforementioned dependent processes is derived and studied. Various implications of the dependence are discussed and exemplified numerically.

Keywords: Actuarial pricing; The Esscher pricing functional; Compound Poisson processes; Copula-based dependence (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:51:y:2012:i:1:p:151-157

DOI: 10.1016/j.insmatheco.2012.01.007

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