| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5076762 | Insurance: Mathematics and Economics | 2012 | 7 Pages |
Abstract
Convenient expressions for the Esscher pricing functional in the context of the compound Poisson processes with dependent loss amounts and loss inter-arrival times are developed. To this end, the moment generating function of the aforementioned dependent processes is derived and studied. Various implications of the dependence are discussed and exemplified numerically.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Fouad Marri, Edward Furman,