Conditional increments of aggregate discounted claims with a trend

Ghislain Léveillé and Ilie Radu Mitric

Scandinavian Actuarial Journal, 2023, vol. 2023, issue 4, 388-410

Abstract: We study the moments generating function, moments, distributions, VaR, and TVaR of conditional increments of aggregate discounted claims when the counting process is generated by a trend renewal process. The combined effect of the age process and trend is also examined.

Date: 2023
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DOI: 10.1080/03461238.2022.2108334

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