ON THE LAPLACE TRANSFORM OF THE AGGREGATE DISCOUNTED CLAIMS WITH MARKOVIAN ARRIVALS

被引：14

作者：

Ren, Jiandong ^{[1
]}

机构：

[1] Univ Western Ontario, Dept Stat & Actuarial Sci, London, ON N6A 5B7, Canada

来源：

NORTH AMERICAN ACTUARIAL JOURNAL | 2008年 / 12卷 / 02期

关键词：

D O I：

10.1080/10920277.2008.10597510

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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.

引用

页码：198 / 206

页数：9

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