Transform approach for discounted aggregate claims in a risk model with descendant claims

Hyunjoo Yoo, Bara Kim, Jeongsim Kim, Jiwook Jang

Research output: Contribution to journalArticlepeer-review

Abstract

We consider a risk model with three types of claims: ordinary, leading, and descendant claims. We derive an expression for the Laplace–Stieltjes transform of the distribution of the discounted aggregate claims. By using this expression, we can then obtain the mean and variance of the discounted aggregate claims. For actuarial applications, the VaR and CTE are computed by numerical inversion of the Laplace transforms for the tail probability and the conditional tail expectation of the discounted aggregate claims. The net premium for stop-loss reinsurance contract is also computed.

Original languageEnglish
Pages (from-to)175-192
Number of pages18
JournalAnnals of Operations Research
Volume293
Issue number1
DOIs
Publication statusPublished - 2020 Oct 1

Keywords

  • Descendant claims
  • Discounted aggregate claims
  • Laplace–Stieltjes transform
  • Risk model

ASJC Scopus subject areas

  • Decision Sciences(all)
  • Management Science and Operations Research

Fingerprint Dive into the research topics of 'Transform approach for discounted aggregate claims in a risk model with descendant claims'. Together they form a unique fingerprint.

Cite this