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Discounted compound renewal sums with a stochastic force of interest
previously. Then, for any t > 0, h > 0, δ ≥ 0 and u,v( )∈Ω×Ω , the joint m.g.f. of our risk process satisfies ... Z t+h( ) u,v( ) = Fτ1 t + h( ) + MX ve−δx( )MZ t+h−x( ) ve−δx( )dFτ1 x( ) t t+h ∫ + MX u + v( )e−δx( ...- Authors: GHISLAIN LEVEILLE, Franck Issa Adekambi
- Date: Jul 2010
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The Distribution of Discounted Compound Renewal Sums
Model (1957) for an aggregate claim is given by: S(t) = N(t)∑ k=1 Xk , t ≥ 0 , (1) where N(t) is a ... Model (1957) for an aggregate claim is given by: S(t) = N(t)∑ k=1 Xk , t ≥ 0 , (1) where N(t) is a ...- Authors: José Garrido, GHISLAIN LEVEILLE, Ya Fang Wang
- Date: Nov 2008
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods>Stochastic models