On the Laplace Transform of the Aggregate Discounted Claims with Markovian Arrivals

Jiandong Ren

North American Actuarial Journal, 2008, vol. 12, issue 2, 198-206

Abstract: We present an explicit formula for the Laplace transform of the distribution of the aggregate discounted claims when interclaim times follow a Markovian arrival process. In addition, we derive explicit formulas for the first two moments and then show that the higher moments may be obtained by numerically solving a system of ordinary differential equations.

Date: 2008
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DOI: 10.1080/10920277.2008.10597510

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