On the Moments and the Distribution of Aggregate Discounted Claims in a Markovian Environment
This paper studies the moments and the distribution of the aggregate discounted claims (ADCs) in a Markovian environment, where the claim arrivals, claim amounts, and forces of interest (for discounting) are influenced by an underlying Markov process. Specifically, we assume that claims occur accord...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2018-05-01
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| Series: | Risks |
| Subjects: | |
| Online Access: | http://www.mdpi.com/2227-9091/6/2/59 |