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- Title
Moments of Compound Renewal Sums with Dependent Risks Using Mixing Exponential Models.
- Authors
Marri, Fouad; Adékambi, Franck; Moutanabbir, Khouzeima
- Abstract
In this paper, we study the discounted renewal aggregate claims with a full dependence structure. Based on a mixing exponential model, the dependence among the inter-claim times, the claim sizes, as well as the dependence between the inter-claim times and the claim sizes are included. The main contribution of this paper is the derivation of the closed-form expressions for the higher moments of the discounted aggregate renewal claims. Then, explicit expressions of these moments are provided for specific copulas families and some numerical illustrations are given to analyze the impact of dependency on the moments of the discounted aggregate amount of claims.
- Subjects
RISK assessment -- Mathematical models; RENEWAL theory; LAPLACE transformation; DISTRIBUTION (Probability theory); UNIVARIATE analysis
- Publication
Risks, 2018, Vol 6, Issue 3, p86
- ISSN
2227-9091
- Publication type
Article
- DOI
10.3390/risks6030086