ON THE MOMENTS OF AGGREGATE DISCOUNTED CLAIMS WITH DEPENDENCE INTRODUCED BY A FGM COPULA

被引：36

作者：

Barges, Mathieu ^{[1
,2
]}

Cossette, Helene ^{[2
]}

Loisel, Stephane ^{[1
]}

Marceau, Etienne ^{[2
]}

机构：

[1] Univ Lyon 1, Inst Sci Financiere & Assurances, F-69007 Lyon, France

[2] Univ Laval, Ecole Actuariat, Quebec City, PQ, Canada

来源：

ASTIN BULLETIN | 2011年 / 41卷 / 01期

基金：

加拿大自然科学与工程研究理事会;

关键词：

Compound Poisson process; Discounted aggregate claims; Moments; Constant interest rate; RUIN; RISK; MODEL;

D O I：

10.2143/AST.41.1.2084392

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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 and approximations based on moment matching methods.

引用

页码：215 / 238

页数：24

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