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

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dc.contributor.authorAdekambi, Franck
dc.date.accessioned2021-05-12T10:54:37Z
dc.date.available2021-05-12T10:54:37Z
dc.date.issued2019-08
dc.descriptionPaper presented at the 5th Strathmore International Mathematics Conference (SIMC 2019), 12 - 16 August 2019, Strathmore University, Nairobi, Kenyaen_US
dc.description.abstractIn 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.en_US
dc.description.sponsorshipUniversity of Johannesburg, South Africa.en_US
dc.identifier.urihttp://hdl.handle.net/11071/11852
dc.language.isoen_USen_US
dc.publisherStrathmore Universityen_US
dc.subjectCompound renewal processen_US
dc.subjectDiscounted aggregate claimsen_US
dc.subjectMomentsen_US
dc.subjectFGM copulaen_US
dc.subjectMix Erlang distributionen_US
dc.titleRecursive moments of the aggregate discounted claims with Erlang inter-occurrence distribution and dependence introduced by a FGM Copulaen_US
dc.typeArticleen_US
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