当前位置: X-MOL 学术J. Comput. Appl. Math. › 论文详情
Our official English website, www.x-mol.net, welcomes your feedback! (Note: you will need to create a separate account there.)
Moments of discounted aggregate claims with dependence based on Spearman copula
Journal of Computational and Applied Mathematics ( IF 2.4 ) Pub Date : 2020-03-31 , DOI: 10.1016/j.cam.2020.112889
Weiwei Sun , Xiang Hu , Lianzeng Zhang

This paper considers an extension to the classical compound Poisson risk process by introducing a dependence structure between the inter-claim time and the claim size. We adopt the Spearman copula for constructing the dependence with the purpose of covering a wide range of positive dependence and developing a convex approximation to some bivariate copulas. We study the Laplace transform of the moments of the discounted aggregate claims in this framework. Then we derive the explicit expressions for the first three moments of the discounted aggregate claims in the case of the exponential and Pareto-distributed claim sizes. Numerical examples are provided to measure the impact of dependence on the discounted aggregate claims and to illustrate the efficiency of the proposed approximation method.



中文翻译:

基于Spearman copula的具有依赖关系的贴现合计索赔的时刻

本文通过引入索赔间隔时间与索赔规模之间的依存结构,考虑了对经典复合泊松风险过程的扩展。我们采用Spearman copula构造依赖关系,目的是覆盖广泛的正依赖关系,并对某些双变量copula进行凸逼近。我们研究了此框架中折现总索赔额时刻的拉普拉斯变换。然后,在具有指数分布和帕累托分布的索赔额的情况下,我们得出贴现后的总索赔额前三个时刻的显式表达式。提供了数值示例,以测量依赖关系对折现后的总体索赔的影响,并说明所提出的近似方法的效率。

更新日期:2020-03-31
down
wechat
bug