On the Moments of the Aggregate Discounted Claims with Dependence Introduced by a FGM Copula

Mathieu Bargès (1, 2) , Hélène Cossette (2) , Stéphane Loisel (1) , Etienne Marceau (2)

1 SAF - Laboratoire de Sciences Actuarielle et Financière
2 Ecole d'Actuariat

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.

Domaines: Economies et finances

Mathieu Bargès, Hélène Cossette, Stéphane Loisel, Etienne Marceau. On the Moments of the Aggregate Discounted Claims with Dependence Introduced by a FGM Copula. ASTIN Bulletin, 2011, 41 (1), pp.215-238. ⟨hal-00426502⟩