### Abstract

We consider the recursive moments of aggregate discounted claims, where the dependence between the inter-claim time and the subsequent claim size is captured by a copula distribution. The equations of the recursive moments, which take the form of the Volterra integral equation (VIE), are then solved using the Laplace transform. We then compute its mean and variance, and compare with the results obtained in previous literature.

Original language | English |
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Title of host publication | Proceeding of the 25th National Symposium on Mathematical Sciences, SKSM 2017 |

Subtitle of host publication | Mathematical Sciences as the Core of Intellectual Excellence |

Publisher | American Institute of Physics Inc. |

Volume | 1974 |

ISBN (Electronic) | 9780735416819 |

DOIs | |

Publication status | Published - 28 Jun 2018 |

Event | 25th National Symposium on Mathematical Sciences: Mathematical Sciences as the Core of Intellectual Excellence, SKSM 2017 - Kuantan, Pahang, Malaysia Duration: 27 Aug 2017 → 29 Aug 2017 |

### Other

Other | 25th National Symposium on Mathematical Sciences: Mathematical Sciences as the Core of Intellectual Excellence, SKSM 2017 |
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Country | Malaysia |

City | Kuantan, Pahang |

Period | 27/8/17 → 29/8/17 |

### Fingerprint

### Keywords

- aggregate discounted claim
- copula
- Laplace transform
- Volterra integral equation

### ASJC Scopus subject areas

- Physics and Astronomy(all)

### Cite this

*Proceeding of the 25th National Symposium on Mathematical Sciences, SKSM 2017: Mathematical Sciences as the Core of Intellectual Excellence*(Vol. 1974). [020110] American Institute of Physics Inc.. https://doi.org/10.1063/1.5041641

**Laplace transform on the recursive moments of copula-dependent aggregate discounted claims.** / Mohd Ramli, Siti Norafidah; Rozali, Nur Atikah Mohamed; Syed Yusoff Alhabshi, Sharifah Farah; Hashim, Ishak.

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

*Proceeding of the 25th National Symposium on Mathematical Sciences, SKSM 2017: Mathematical Sciences as the Core of Intellectual Excellence.*vol. 1974, 020110, American Institute of Physics Inc., 25th National Symposium on Mathematical Sciences: Mathematical Sciences as the Core of Intellectual Excellence, SKSM 2017, Kuantan, Pahang, Malaysia, 27/8/17. https://doi.org/10.1063/1.5041641

}

TY - GEN

T1 - Laplace transform on the recursive moments of copula-dependent aggregate discounted claims

AU - Mohd Ramli, Siti Norafidah

AU - Rozali, Nur Atikah Mohamed

AU - Syed Yusoff Alhabshi, Sharifah Farah

AU - Hashim, Ishak

PY - 2018/6/28

Y1 - 2018/6/28

N2 - We consider the recursive moments of aggregate discounted claims, where the dependence between the inter-claim time and the subsequent claim size is captured by a copula distribution. The equations of the recursive moments, which take the form of the Volterra integral equation (VIE), are then solved using the Laplace transform. We then compute its mean and variance, and compare with the results obtained in previous literature.

AB - We consider the recursive moments of aggregate discounted claims, where the dependence between the inter-claim time and the subsequent claim size is captured by a copula distribution. The equations of the recursive moments, which take the form of the Volterra integral equation (VIE), are then solved using the Laplace transform. We then compute its mean and variance, and compare with the results obtained in previous literature.

KW - aggregate discounted claim

KW - copula

KW - Laplace transform

KW - Volterra integral equation

UR - http://www.scopus.com/inward/record.url?scp=85049784580&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=85049784580&partnerID=8YFLogxK

U2 - 10.1063/1.5041641

DO - 10.1063/1.5041641

M3 - Conference contribution

AN - SCOPUS:85049784580

VL - 1974

BT - Proceeding of the 25th National Symposium on Mathematical Sciences, SKSM 2017

PB - American Institute of Physics Inc.

ER -