Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/258208 
Year of Publication: 
2021
Citation: 
[Journal:] Risks [ISSN:] 2227-9091 [Volume:] 9 [Issue:] 6 [Article No.:] 122 [Publisher:] MDPI [Place:] Basel [Year:] 2021 [Pages:] 1-22
Publisher: 
MDPI, Basel
Abstract: 
In this paper, we derive a closed-form expression of the tail probability of the aggregate discounted claims under homogeneous, non-homogeneous and mixed Poisson risk models with constant force of interest by using a general dependence structure between the inter-occurrence time and the claim sizes. This dependence structure is relevant since it is well known that under catastrophic or extreme events the inter-occurrence time and the claim severities are dependent.
Subjects: 
homogeneous
non-homogeneous
mixed Poisson risk model
differential equation
discounted aggregate loss
subexponential
tail probability
Persistent Identifier of the first edition: 
Creative Commons License: 
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Document Type: 
Article
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