Effects of the Age Process on Aggregate Discounted Claims

Ghislain Léveillé, Ilie-Radu Mitric and Victor Côté
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Ghislain Léveillé: École D’actuariat, Université Laval, Québec, QC G1V 0A6, Canada
Ilie-Radu Mitric: École D’actuariat, Université Laval, Québec, QC G1V 0A6, Canada
Victor Côté: École D’actuariat, Université Laval, Québec, QC G1V 0A6, Canada

Risks, 2018, vol. 6, issue 4, 1-17

Abstract: In this document, we examine the effects of the age process on aggregate discounted claims by studying the conditional raw and joint moments, the moment generating function and the distribution function of the increments of compound renewal sums with discounted claims, taking into account the past experience of an insurance portfolio.

Keywords: age process; aggregate discounted claims; increments; Lundberg-type bounds; moments; net force of interest; stochastic ordering; risk measures (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 K2 M2 M4 (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:gam:jrisks:v:6:y:2018:i:4:p:106-:d:171742

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