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Effects of the Age Process on Aggregate Discounted Claims

Author

Listed:
  • Ghislain Léveillé

    (École D’actuariat, Université Laval, Québec, QC G1V 0A6, Canada)

  • Ilie-Radu Mitric

    (École D’actuariat, Université Laval, Québec, QC G1V 0A6, Canada)

  • Victor Côté

    (École D’actuariat, Université Laval, Québec, QC G1V 0A6, Canada)

Abstract

In this document, we examine the effects of the age process on aggregate discounted claims by studying the conditional raw and joint moments, the moment generating function and the distribution function of the increments of compound renewal sums with discounted claims, taking into account the past experience of an insurance portfolio.

Suggested Citation

  • Ghislain Léveillé & Ilie-Radu Mitric & Victor Côté, 2018. "Effects of the Age Process on Aggregate Discounted Claims," Risks, MDPI, vol. 6(4), pages 1-17, September.
    • Handle: RePEc:gam:jrisks:v:6:y:2018:i:4:p:106-:d:171742
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    References listed on IDEAS

    as
    1. Bargès, Mathieu & Cossette, Hélène & Loisel, Stéphane & Marceau, Étienne, 2011. "On the Moments of Aggregate Discounted Claims with Dependence Introduced by a FGM Copula," ASTIN Bulletin, Cambridge University Press, vol. 41(1), pages 215-238, May.
    2. Cai, Jun & Dickson, David C. M., 2003. "Upper bounds for ultimate ruin probabilities in the Sparre Andersen model with interest," Insurance: Mathematics and Economics, Elsevier, vol. 32(1), pages 61-71, February.
    3. Woo, Jae-Kyung & Cheung, Eric C.K., 2013. "A note on discounted compound renewal sums under dependency," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 170-179.
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