Some specific density functions of aggregated discounted claims with dependent risks
This paper obtains some specific density functions for aggregated discounted claims where the claim amounts are dependent, or the inter-claim times are dependent, or the claim amounts and the claim arrival process are both dependent. The dependence is structured through mixing, and the claim arrival...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2021-08-01
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| Series: | Results in Applied Mathematics |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2590037421000261 |
| _version_ | 1818586949812748288 |
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| author | Zhehao Zhang Gemai Chen |
| author_facet | Zhehao Zhang Gemai Chen |
| author_sort | Zhehao Zhang |
| collection | DOAJ |
| description | This paper obtains some specific density functions for aggregated discounted claims where the claim amounts are dependent, or the inter-claim times are dependent, or the claim amounts and the claim arrival process are both dependent. The dependence is structured through mixing, and the claim arrival process studied is either an ordinary Poisson process or a mixed Poisson process. Closed form densities are obtained for gamma, generalized exponential, generalized Pareto and beta mixing, and an important use of them is illustrated. |
| first_indexed | 2024-12-16T09:01:06Z |
| format | Article |
| id | doaj.art-3b11d237935d4f2697fb6a43da4c1941 |
| institution | Directory Open Access Journal |
| issn | 2590-0374 |
| language | English |
| last_indexed | 2024-12-16T09:01:06Z |
| publishDate | 2021-08-01 |
| publisher | Elsevier |
| record_format | Article |
| series | Results in Applied Mathematics |
| spelling | doaj.art-3b11d237935d4f2697fb6a43da4c19412022-12-21T22:37:11ZengElsevierResults in Applied Mathematics2590-03742021-08-0111100168Some specific density functions of aggregated discounted claims with dependent risksZhehao Zhang0Gemai Chen1Xi’an Jiaotong-Liverpool University, Suzhou, Jiangsu Province, ChinaUniversity of Calgary, Calgary, Alberta, Canada; Corresponding author.This paper obtains some specific density functions for aggregated discounted claims where the claim amounts are dependent, or the inter-claim times are dependent, or the claim amounts and the claim arrival process are both dependent. The dependence is structured through mixing, and the claim arrival process studied is either an ordinary Poisson process or a mixed Poisson process. Closed form densities are obtained for gamma, generalized exponential, generalized Pareto and beta mixing, and an important use of them is illustrated.http://www.sciencedirect.com/science/article/pii/S2590037421000261Discounted claimsDependent risksMixingMixed Poisson processSpecial functions and transforms |
| spellingShingle | Zhehao Zhang Gemai Chen Some specific density functions of aggregated discounted claims with dependent risks Results in Applied Mathematics Discounted claims Dependent risks Mixing Mixed Poisson process Special functions and transforms |
| title | Some specific density functions of aggregated discounted claims with dependent risks |
| title_full | Some specific density functions of aggregated discounted claims with dependent risks |
| title_fullStr | Some specific density functions of aggregated discounted claims with dependent risks |
| title_full_unstemmed | Some specific density functions of aggregated discounted claims with dependent risks |
| title_short | Some specific density functions of aggregated discounted claims with dependent risks |
| title_sort | some specific density functions of aggregated discounted claims with dependent risks |
| topic | Discounted claims Dependent risks Mixing Mixed Poisson process Special functions and transforms |
| url | http://www.sciencedirect.com/science/article/pii/S2590037421000261 |
| work_keys_str_mv | AT zhehaozhang somespecificdensityfunctionsofaggregateddiscountedclaimswithdependentrisks AT gemaichen somespecificdensityfunctionsofaggregateddiscountedclaimswithdependentrisks |