Artikel

Asymptotic tail probability of the discounted aggregate claims under homogeneous, non-homogeneous and mixed Poisson risk model

In this paper, we derive a closed-form expression of the tail probability of the aggregate discounted claims under homogeneous, non-homogeneous and mixed Poisson risk models with constant force of interest by using a general dependence structure between the inter-occurrence time and the claim sizes. This dependence structure is relevant since it is well known that under catastrophic or extreme events the inter-occurrence time and the claim severities are dependent.

Language: Englisch

Bibliographic citation: Journal: Risks ; ISSN: 2227-9091 ; Volume: 9 ; Year: 2021 ; Issue: 6 ; Pages: 1-22 ; Basel: MDPI

Classification: Wirtschaft

Subject: homogeneous
non-homogeneous
mixed Poisson risk model
differential equation
discounted aggregate loss
subexponential
tail probability

Event: Geistige Schöpfung

(who): Adékambi, Franck
Essiomle, Kokou

Event: Veröffentlichung

(who): MDPI

(where): Basel

(when): 2021

DOI: doi:10.3390/risks9070122

Handle: http://hdl.handle.net/10419/258208

Last update: 10.03.2025, 11:45 AM CET

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Artikel

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Adékambi, Franck
Essiomle, Kokou
MDPI

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2021

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Asymptotic tail probability of the discounted aggregate claims under homogeneous, non-homogeneous and mixed Poisson risk model

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Other Objects (12)

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