Moment generating functions of compound renewal sums with discounted claims

Ghislain Léveillé, José Garrido and Ya Fang Wang

Scandinavian Actuarial Journal, 2010, vol. 2010, issue 3, 165-184

Abstract: Léveillé & Garrido (2001a, 2001b) have obtained recursive formulas for the moments of compound renewal sums with discounted claims, which incorporate both, Andersen's (1957) generalization of the classical risk model, where the claim number process is an ordinary renewal process, and Taylor's (1979), where the joint effect of the claims cost inflation and investment income on a compound Poisson risk process is considered. In this paper, assuming certain regularity conditions, we improve the preceding results by examining more deeply the asymptotic and finite time moment generating functions of the discounted aggregate claims process. Examples are given for claim inter-arrival times and claim severity following phase-type distributions, such as the Erlang case.

Date: 2010
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://hdl.handle.net/10.1080/03461230902745842 (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:2010:y:2010:i:3:p:165-184

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

DOI: 10.1080/03461230902745842

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 ().