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• W2082462526 abstract "Abstract Convenient expressions for the Esscher pricing functional in the context of the compound Poisson processes with dependent loss amounts and loss inter-arrival times are developed. To this end, the moment generating function of the aforementioned dependent processes is derived and studied. Various implications of the dependence are discussed and exemplified numerically." @default.
• W2082462526 created "2016-06-24" @default.
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• W2082462526 date "2012-07-01" @default.
• W2082462526 modified "2023-09-27" @default.
• W2082462526 title "Pricing compound Poisson processes with the Farlie–Gumbel–Morgenstern dependence structure" @default.
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• W2082462526 doi "https://doi.org/10.1016/j.insmatheco.2012.01.007" @default.
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