Martingale Approach for Moments of Discounted Aggregate Claims

By Jiwook Jang. 2004

51 citations recorded by the source corpus.

Subfields: Demography, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/14f38c8036b2cf8b21b4c5471d8b6b03030ce3b4

How researchers see this paper

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In Demography

1. Hélène Cossette
2. É. Marceau
3. Stéphane Loisel
4. Mathieu Bargès
5. Yiqing Chen
6. Mélina Mailhot

In Finance

1. Hélène Cossette
2. É. Marceau
3. Stéphane Loisel
4. Mathieu Bargès
5. Yiqing Chen

In Management Science and Operations Research

1. Hélène Cossette
2. É. Marceau
3. Stéphane Loisel
4. Mathieu Bargès
5. Yiqing Chen

Citations in the corpus

• On the Moments of Aggregate Discounted Claims with Dependence Introduced by a FGM Copula (2011, methodology): “These first two moments were also obtained in Jang (2004) using martingale theory. This result has since been generalized by relaxing some of the classical assumptions presented above. Léveillé and Garrido (2001b) and Léveillé et al.”