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| HAL : hal-00426502, version 1 |
| Fiche détaillée |  Récupérer au format |
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| Astin Bulletin (2011) xxx-xxx |
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| On the Moments of the Aggregate Discounted Claims with Dependence Introduced by a FGM Copula |
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Mathieu Bargès 1, 2Hélène Cossette 2 |
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| (2011) |
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| In this paper, we investigate the computation of the moments of the compound Poisson sums with discounted claims when introducing dependence between the interclaim time and the subsequent claim size. The dependence structure between the two random variables is defined by a Farlie-Gumbel-Morgenstern copula. Assuming that the claim distribution has finite moments, we give expressions for the first and the second moments and then we obtain a general formula for any mth order moment. The results are illustrated with applications to premium calculation, moment matching methods, as well as inflation stress scenarios in Solvency II. |
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| 1 : | Laboratoire de Sciences Actuarielle et Financière (SAF) |
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Université Claude Bernard - Lyon I : EA2429 |
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| 2 : | Ecole d'Actuariat |
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Université Laval |
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| Domaine | : | Sciences de l'Homme et Société/Economies et finances |
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| hal-00426502, version 1 | |
| http://hal.archives-ouvertes.fr/hal-00426502 | |
| oai:hal.archives-ouvertes.fr:hal-00426502 | |
| Contributeur : Stéphane Loisel | |
| Soumis le : Lundi 26 Octobre 2009, 15:02:59 | |
| Dernière modification le : Mercredi 16 Février 2011, 14:30:17 | |
