Moments of compound renewal sums with discounted claims

被引：50
|
作者：
Léveillé, G
Garrido, J
机构：
[1] Concordia Univ, Dept Math & Stat, Montreal, PQ H4B 1R6, Canada
[2] Univ Laval, Laval, PQ, Canada
来源：
INSURANCE MATHEMATICS & ECONOMICS | 2001年 / 28卷 / 02期
基金：
加拿大自然科学与工程研究理事会;
关键词：
classical risk process; present value risk process; renewal theory; inflation; interest rate; discounting;
D O I：
10.1016/S0167-6687(00)00078-0
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
Delbaen and Haezendonck [Ins. Math. Econ. 6 (1987) 85] and Willmot [Scand. Actuarial J. 1 (1989) 1] give an analytical expression for the net premium density of a compound Poisson present value risk (CPPVR) process. Their calculation is based, essentially, on the independence of the increments of the CPPVR process. In this paper, under regularity conditions, we derive the first two moments of a compound renewal present value risk (CRPVR) process using renewal theory arguments. Some examples, extensions and limiting results are also given. (C) 2001 Elsevier Science B.V. All rights reserved.
引用
收藏
页码：217 / 231
页数：15
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