Martingale Approach for Moments of Discounted Aggregate Claims

Ji‐Wook Jang

Journal of Risk & Insurance, 2004, vol. 71, issue 2, 201-211

Abstract: We examine the Laplace transform of the distribution of the shot noise process using the martingale. Applying the piecewise deterministic Markov processes theory and using the relationship between the shot noise process and the accumulated/discounted aggregate claims process, the Laplace transform of the distribution of the accumulated aggregate claims is obtained. Assuming that the claim arrival process follows the Poisson process and claim sizes are assumed to be exponential and mixture of exponential, we derive the explicit expressions of the actuarial net premiums and variances of the discounted aggregate claims, which are the annuities paid continuously. Numerical examples are also provided based on them.

Date: 2004
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