| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5076882 | Insurance: Mathematics and Economics | 2013 | 10 Pages |
Abstract
⺠A dependent renewal risk process is considered. ⺠Our dependency structure contains various copulas in the literature as special cases. ⺠We derive the moments of the discounted aggregate claims over a fixed time horizon. ⺠The results are simplified when the dependency involves an 'Erlang weight' structure. ⺠Numerical examples are given to study the impact of dependency.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Jae-Kyung Woo, Eric C.K. Cheung,