Discounted Aggregate Claim Costs Until Ruin in the Discrete-Time Renewal Risk Model

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Abstract

In this paper, we focus on analyzing the relationship between the discounted aggregate claim costs until ruin and ruin-related quantities including the time of ruin. To facilitate the evaluation of quantities of our interest as an approximation to the ones in the continuous case, discrete-time renewal risk model with certain dependent structure between interclaim times and claim amounts is considered. Furthermore, to provide explicit expressions for various moment-based joint probabilities, a fairly general class of distributions, namely the discrete Coxian distribution, is used for the interclaim times. Also, we assume a combination of geometrics claim size with arbitrary interlciam time distribution to derive a nice expression for the Gerber-Shiu type function involving the discounted aggregate claims until ruin. Consequently, the results are applied to evaluate some interesting quantities including the covariance between the discounted aggregate claim costs until ruin and the discounted claim causing ruin given that ruin occurs.

Keywords

Discounted aggregate claims until ruin Discrete Sparre Andersen renewal risk process Discounted moment-based joint distribution Higher moments Covariance Discrete Coxian (Kn) distribution Claim causing ruin 

Mathematics Subject Classification (2010)

91B30 60K10 

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Notes

Acknowledgements

The authors are grateful to the anonymous referees and the Editor for their useful suggestions that have greatly improved the overall presentation and material of the paper.

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© Springer Science+Business Media, LLC, part of Springer Nature 2018

Authors and Affiliations

  1. 1.School of Risk and Actuarial Studies, Australian School of BusinessUniversity of New South WalesSydneyAustralia
  2. 2.Department of Statistics and Actuarial ScienceUniversity of IowaIowa CityUSA

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