Beta transform and discounted aggregate claims under dependency

Zhehao Zhang*, Shuanming Li

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

1 Citation (Scopus)

Abstract

This paper starts with the Beta transform and discusses the stochastic ordering properties of this transform under different parameter settings. Later, the distribution of discounted aggregate claims in a compound renewal risk model with dependence between inter-claim times and claim sizes is studied. Recursive formulas for moments and joint moments are expressed in terms of the Beta transform of the inter-claim times and claim severities. Particularly, our moments formula is more explicit and computation-friendly than earlier ones in the references. Lastly, numerical examples are provided to illustrate our results.

Original languageEnglish
Pages (from-to)241-267
Number of pages27
JournalAnnals of Actuarial Science
Volume13
Issue number2
DOIs
Publication statusPublished - 1 Sept 2019
Externally publishedYes

Keywords

  • Beta distributional transform
  • Copula
  • Discounted aggregate claims
  • Renewal risk process
  • Stochastic ordering

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