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 |
|---|---|
| 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 |
|---|---|
| Country | Malaysia |
| City | Kuantan, Pahang |
| Period | 27/8/17 → 29/8/17 |
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Keywords
- aggregate discounted claim
- copula
- Laplace transform
- Volterra integral equation
ASJC Scopus subject areas
- Physics and Astronomy(all)
Cite this
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.
Proceeding of the 25th National Symposium on Mathematical Sciences, SKSM 2017: Mathematical Sciences as the Core of Intellectual Excellence. Vol. 1974 American Institute of Physics Inc., 2018. 020110.Research output: Chapter in Book/Report/Conference proceeding › Conference contribution
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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
VL - 1974
BT - Proceeding of the 25th National Symposium on Mathematical Sciences, SKSM 2017
PB - American Institute of Physics Inc.
ER -