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Pricing compound Poisson processes with the Farlie–Gumbel–Morgenstern dependence structure

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  • Marri, Fouad
  • Furman, Edward

Abstract

Convenient expressions for the Esscher pricing functional in the context of the compound Poisson processes with dependent loss amounts and loss inter-arrival times are developed. To this end, the moment generating function of the aforementioned dependent processes is derived and studied. Various implications of the dependence are discussed and exemplified numerically.

Suggested Citation

  • Marri, Fouad & Furman, Edward, 2012. "Pricing compound Poisson processes with the Farlie–Gumbel–Morgenstern dependence structure," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 151-157.
    • Handle: RePEc:eee:insuma:v:51:y:2012:i:1:p:151-157
    DOI: 10.1016/j.insmatheco.2012.01.007
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    References listed on IDEAS

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