Recursive Moments of Compound Renewal Sums with Discounted Claims

Ghislain Léveillé and José Garrido

Scandinavian Actuarial Journal, 2001, vol. 2001, issue 2, 98-110

Abstract: Under regularity conditions, Le´veille´& Garrido [6] gives a derivation of the first two moments (resp. asymptotic) of a Compound Renewal Present Value Risk (CRPVR) process using renewal theory arguments. In this paper, with the same procedure and assuming that all the moments of the claim severity and the claims number process exist, we get recursive formulas for all the moments (resp. asymptotic) of the CRPVR process.

Date: 2001
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://hdl.handle.net/10.1080/03461230152592755 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:sactxx:v:2001:y:2001:i:2:p:98-110

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/sact20

DOI: 10.1080/03461230152592755

Access Statistics for this article

Scandinavian Actuarial Journal is currently edited by Boualem Djehiche

More articles in Scandinavian Actuarial Journal from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().