The construction of a quadratic predictor of the discounted renewal claims with dependence

Article type: Research Article

Authors: Adékambi, Franck^a;

Affiliations: [a] Department of Economics and Econometrics, University of Johannesburg, Auckland Park Campus, New Zealand E-mail: fadekambi@uj.ac.za

Correspondence: [*] School of Economics, University of Johannesburg, Johannesburg 2006, South Africa. E-mail: fadekambi@uj.ac.za

Abstract: In this paper we propose a quadratic predictor of the compound discounted renewal aggregate claims when taking into account dependence within the inter-occurrence times. We compare the accuracy of the proposed quadratic predictor to the simulated value of that sum, by using specific mixture of exponential distributions to define the dependence structure between the inter-occurrence times.

Keywords: Discounted compound renewal aggregate sums, moments, Archimedean Copula, random interest rate, quadratic predictor

DOI: 10.3233/RDA-180052

Journal: Risk and Decision Analysis, vol. 8, no. 1-2, pp. 25-37, 2020