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

Hyunjoo Yoo, Bara Kim, Jeongsim Kim*, Jiwook Jang

*Corresponding author for this work

Research output: Contribution to journalArticle

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
Early online date25 Sep 2019
DOIs
Publication statusE-pub ahead of print - 25 Sep 2019

Keywords

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

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