On the Moments of the Aggregate Discounted Claims with Dependence Introduced by a FGM Copula

Mathieu Bargès (), Hélène Cossette (), Stéphane Loisel and Etienne Marceau ()
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Mathieu Bargès: LSAF - Laboratoire de Sciences Actuarielle et Financière - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon, Ecole d'Actuariat - ULaval - Université Laval [Québec]
Hélène Cossette: Ecole d'Actuariat - ULaval - Université Laval [Québec]
Etienne Marceau: Ecole d'Actuariat - ULaval - Université Laval [Québec]

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Abstract: In this paper, we investigate the computation of the moments of the compound Poisson sums with discounted claims when introducing dependence between the interclaim time and the subsequent claim size. The dependence structure between the two random variables is defined by a Farlie-Gumbel-Morgenstern copula. Assuming that the claim distribution has finite moments, we give expressions for the first and the second moments and then we obtain a general formula for any mth order moment. The results are illustrated with applications to premium calculation, moment matching methods, as well as inflation stress scenarios in Solvency II.

Date: 2011
Note: View the original document on HAL open archive server: https://hal.science/hal-00426502v1
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Citations: View citations in EconPapers (15)

Published in ASTIN Bulletin, 2011, 41 (1), pp.215-238

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Journal Article: On the Moments of Aggregate Discounted Claims with Dependence Introduced by a FGM Copula (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00426502

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