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

Research output: Chapter in Book/Report/Conference proceedingConference contribution

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 languageEnglish
Title of host publicationProceeding of the 25th National Symposium on Mathematical Sciences, SKSM 2017
Subtitle of host publicationMathematical Sciences as the Core of Intellectual Excellence
PublisherAmerican Institute of Physics Inc.
Volume1974
ISBN (Electronic)9780735416819
DOIs
Publication statusPublished - 28 Jun 2018
Event25th National Symposium on Mathematical Sciences: Mathematical Sciences as the Core of Intellectual Excellence, SKSM 2017 - Kuantan, Pahang, Malaysia
Duration: 27 Aug 201729 Aug 2017

Other

Other25th National Symposium on Mathematical Sciences: Mathematical Sciences as the Core of Intellectual Excellence, SKSM 2017
CountryMalaysia
CityKuantan, Pahang
Period27/8/1729/8/17

Fingerprint

moments
integral equations

Keywords

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

ASJC Scopus subject areas

  • Physics and Astronomy(all)

Cite this

Mohd Ramli, S. N., Rozali, N. A. M., Syed Yusoff Alhabshi, S. F., & Hashim, I. (2018). Laplace transform on the recursive moments of copula-dependent aggregate discounted claims. In 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.

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 proceedingConference contribution

Mohd Ramli, SN, Rozali, NAM, Syed Yusoff Alhabshi, SF & Hashim, I 2018, Laplace transform on the recursive moments of copula-dependent aggregate discounted claims. in 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
Mohd Ramli SN, Rozali NAM, Syed Yusoff Alhabshi SF, Hashim I. Laplace transform on the recursive moments of copula-dependent aggregate discounted claims. In 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 https://doi.org/10.1063/1.5041641
Mohd Ramli, Siti Norafidah ; Rozali, Nur Atikah Mohamed ; Syed Yusoff Alhabshi, Sharifah Farah ; Hashim, Ishak. / Laplace transform on the recursive moments of copula-dependent aggregate discounted claims. 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.
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