Journal article

Beta transform and discounted aggregate claims under dependency

Zhehao Zhang, Shuanming Li

Annals of Actuarial Science | Cambridge University Press (CUP) | Published : 2019

Abstract

This paper starts with the Beta transform and discusses the stochastic ordering properties of this transform under different parameter settings. Later, the distribution of discounted aggregate claims in a compound renewal risk model with dependence between inter-claim times and claim sizes is studied. Recursive formulas for moments and joint moments are expressed in terms of the Beta transform of the inter-claim times and claim severities. Particularly, our moments formula is more explicit and computation-friendly than earlier ones in the references. Lastly, numerical examples are provided to illustrate our results.

University of Melbourne Researchers