TY - JOUR
T1 - Some specific density functions of aggregated discounted claims with dependent risks
AU - Zhang, Zhehao
AU - Chen, Gemai
N1 - Publisher Copyright:
© 2021
PY - 2021/8
Y1 - 2021/8
N2 - 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.
AB - 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.
KW - Dependent risks
KW - Discounted claims
KW - Mixed Poisson process
KW - Mixing
KW - Special functions and transforms
UR - http://www.scopus.com/inward/record.url?scp=85110116294&partnerID=8YFLogxK
U2 - 10.1016/j.rinam.2021.100168
DO - 10.1016/j.rinam.2021.100168
M3 - Article
AN - SCOPUS:85110116294
SN - 2590-0374
VL - 11
JO - Results in Applied Mathematics
JF - Results in Applied Mathematics
M1 - 100168
ER -