Conditional, Non-Homogeneous and Doubly Stochastic Compound Poisson Processes with Stochastic Discounted Claims

Ghislain Léveillé () and Emmanuel Hamel
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Ghislain Léveillé: Université Laval
Emmanuel Hamel: Université Laval

Methodology and Computing in Applied Probability, 2018, vol. 20, issue 1, 353-368

Abstract: Abstract In this paper, we study the conditional, non-homogeneous and doubly stochastic compound Poisson process with stochastic discounted claims. We derive the moment generating functions of these risk processes and find their inverses, numerically or analytically, by using their corresponding characteristic functions. We then compare their distributions and some risk measures as the VaR and TVaR, and we examine the case where there is a possible dependence between the occurrence time and the severity of the claim.

Keywords: Aggregate discounted claims; Compound Cox process; Intensity function; Joint and raw moments; Non-homogeneous Poisson process; Renewal process; Stochastic interest rate; 62P05; 97K60 (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/s11009-017-9555-6

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