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Asymptotic Tail Probability of the Discounted Aggregate Claims under Homogeneous, Non-Homogeneous and Mixed Poisson Risk Model

Author

Listed:
  • Franck Adékambi

    (Schoool of Economics, University of Johannesburg, Johannesburg 2006, South Africa)

  • Kokou Essiomle

    (Schoool of Economics, University of Johannesburg, Johannesburg 2006, South Africa)

Abstract

In this paper, we derive a closed-form expression of the tail probability of the aggregate discounted claims under homogeneous, non-homogeneous and mixed Poisson risk models with constant force of interest by using a general dependence structure between the inter-occurrence time and the claim sizes. This dependence structure is relevant since it is well known that under catastrophic or extreme events the inter-occurrence time and the claim severities are dependent.

Suggested Citation

  • Franck Adékambi & Kokou Essiomle, 2021. "Asymptotic Tail Probability of the Discounted Aggregate Claims under Homogeneous, Non-Homogeneous and Mixed Poisson Risk Model," Risks, MDPI, vol. 9(7), pages 1-22, June.
    • Handle: RePEc:gam:jrisks:v:9:y:2021:i:7:p:122-:d:585291
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    References listed on IDEAS

    as
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