Linear predictor of the discounted renewal aggregate claims with dependent inter-occurrence times

被引：0
|
作者：
Adekambi, F. [1 ]
机构：
[1] Univ Johannesburg, Sch Econ, Auckland Pk Campus, Johannesburg, South Africa
来源：
SOUTH AFRICAN ACTUARIAL JOURNAL | 2018年 / 18卷
关键词：
Discounted compound renewal aggregate sums; moments; Archimedean copula; random interest rate; linear predictor;
D O I：
10.4314/saaj.v18i1.2
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
In this paper we derive the first two moments and a linear predictor of the compound discounted renewal aggregate claims when taking into account dependence within the inter-occurrence times. Using specific mixtures of exponential distributions to define the dependence structure between the inter-occurrence times, we compare the accuracy of the proposed linear predictor to the simulated value of that sum.
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页码：17 / 39
页数：23
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