Laplace transform on the recursive moments of aggregate discounted claims with Weibull interwaiting time

We consider aggregate discounted claims of a risk portfolio with Weibull counting process and compute its recursive moments numerically via the Laplace transform. We define the dependence structure between the inter-claim arrival time and its subsequent claims size using the Farlie-Gumbel-Morgenster...

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Hauptverfasser:	Ramli, Siti Norafidah Mohd, Rozali, Nur Atikah Mohamed, Alhabshi, Sharifah Farah Syed Yusoff, Hashim, Ishak
Format:	Tagungsbericht
Sprache:	eng
Schlagworte:	Dependence Laplace transforms Recursive functions Sensitivity analysis Size distribution
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creator	Ramli, Siti Norafidah Mohd Rozali, Nur Atikah Mohamed Alhabshi, Sharifah Farah Syed Yusoff Hashim, Ishak
description	We consider aggregate discounted claims of a risk portfolio with Weibull counting process and compute its recursive moments numerically via the Laplace transform. We define the dependence structure between the inter-claim arrival time and its subsequent claims size using the Farlie-Gumbel-Morgenstern (FGM) copula. In our numerical examples, we compare the moments and conduct sensitivity analysis assuming an exponential and a Pareto claims size distribution. We found that despite having similar marginal variances, the risk portfolio with Pareto claims size produces larger moments compared to the corresponding exponential claims size.
doi_str_mv	10.1063/1.5136405
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We define the dependence structure between the inter-claim arrival time and its subsequent claims size using the Farlie-Gumbel-Morgenstern (FGM) copula. In our numerical examples, we compare the moments and conduct sensitivity analysis assuming an exponential and a Pareto claims size distribution. We found that despite having similar marginal variances, the risk portfolio with Pareto claims size produces larger moments compared to the corresponding exponential claims size.</abstract><cop>Melville</cop><pub>American Institute of Physics</pub><doi>10.1063/1.5136405</doi><tpages>8</tpages></addata></record>
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subjects	Dependence Laplace transforms Recursive functions Sensitivity analysis Size distribution
title	Laplace transform on the recursive moments of aggregate discounted claims with Weibull interwaiting time
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