TY - GEN
T1 - Laplace transform on the recursive moments of aggregate discounted claims with Weibull interwaiting time
AU - Ramli, Siti Norafidah Mohd
AU - Rozali, Nur Atikah Mohamed
AU - Alhabshi, Sharifah Farah Syed Yusoff
AU - Hashim, Ishak
N1 - Publisher Copyright:
© 2019 Author(s).
PY - 2019/12/4
Y1 - 2019/12/4
N2 - We consider aggregate discounted claims of a risk portfolio with Weibull counting process and compute its recursive moments numerically via the Laplace transform. We define the dependence structure between the inter-claim arrival time and its subsequent claims size using the Farlie-Gumbel-Morgenstern (FGM) copula. In our numerical examples, we compare the moments and conduct sensitivity analysis assuming an exponential and a Pareto claims size distribution. We found that despite having similar marginal variances, the risk portfolio with Pareto claims size produces larger moments compared to the corresponding exponential claims size.
AB - We consider aggregate discounted claims of a risk portfolio with Weibull counting process and compute its recursive moments numerically via the Laplace transform. We define the dependence structure between the inter-claim arrival time and its subsequent claims size using the Farlie-Gumbel-Morgenstern (FGM) copula. In our numerical examples, we compare the moments and conduct sensitivity analysis assuming an exponential and a Pareto claims size distribution. We found that despite having similar marginal variances, the risk portfolio with Pareto claims size produces larger moments compared to the corresponding exponential claims size.
UR - https://www.scopus.com/pages/publications/85076759162
U2 - 10.1063/1.5136405
DO - 10.1063/1.5136405
M3 - Conference contribution
AN - SCOPUS:85076759162
T3 - AIP Conference Proceedings
BT - Proceedings of the International Conference on Mathematical Sciences and Technology 2018, MathTech 2018
A2 - Yatim, Yazariah Mohd
A2 - Ahmad, Syakila
A2 - Ismail, Mohd Tahir
A2 - Ali, Majid Khan Majahar
A2 - Rahman, Rosmanjawati Abdul
A2 - Sulaiman, Hajar
A2 - Ramli, Norshafira
A2 - Ahmad, Noor Atinah
A2 - Abdullah, Farah Aini
PB - American Institute of Physics Inc.
T2 - 1st International Conference on Mathematical Sciences and Technology 2018: Innovative Technologies for Mathematics and Mathematics for Technological Innovation, MathTech 2018
Y2 - 10 December 2018 through 12 December 2018
ER -