关于贴现复合依存续期和的递归联合矩的说明

Q3 Economics, Econometrics and Finance

Risk and Decision Analysis Pub Date : 2023-12-08 DOI:10.3233/rda-231522

Franck Adékambi, Kokou Essiomle

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引用次数: 0

摘要

本文给出了一类普通续期或延迟续期索赔数过程的递归联合矩和相关条件下总贴现索赔的线性预测。此外，给出了趋势更新过程中关节矩的递推公式。我们将线性预测器的预测值与指数和Erlang(2,2)的模拟值进行比较，要求在恒定利率下发生间隔时间。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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A note on the recursive joint moments of discounted compound dependent renewal sums

In this paper, we present recursive joint moments and a linear predictor of aggregate discounted claims under dependency for an ordinary or delayed renewal claims number process. In addition, we present recursive formulas for the joint moments in the trend renewal process. We compare the predictive value of our linear predictor with the simulated value of exponential and Erlang (2,2) claims inter-occurrence times with constant interest rate.

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来源期刊

Risk and Decision Analysis Economics, Econometrics and Finance-Economics and Econometrics

CiteScore

1.00

自引率

0.00%

发文量