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    Recursive moments of the aggregate discounted claims with Erlang inter-occurrence distribution and dependence introduced by a FGM Copula

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    Abstract - SIMC Conference paper, 2019 (87.80Kb)
    Date
    2019-08
    Author
    Adekambi, Franck
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    Abstract
    In this paper, we investigate the computation of the moments of the discounted compound renewal aggregate sums when introducing dependence between the inter-occurrence time and the subsequent claim size. We first assume that the inter-occurrence time is following an Erlang distribution and later extend our result to a mixture of Erlangs distribution. The dependence structure between the interoccurrence time and the subsequent claim size is defined by a Farlie- Gumbel-Morgenstern copula. Assuming that the claim distribution has finite moments, we obtain a general formula for any mth order moment. The results are illustrated with applications to premium calculation, moment matching methods, as well as inflation stress scenarios in Solvency Il.
    URI
    http://hdl.handle.net/11071/11852
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    • SIMC 2019 [99]

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