Pricing compound Poisson processes with the Farlie–Gumbel–Morgenstern dependence structure

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.

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Year of publication:	2012
Authors:	Marri, Fouad ; Furman, Edward
Published in:	Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 51.2012, 1, p. 151-157
Publisher:	Elsevier
Subject:	Actuarial pricing \| The Esscher pricing functional \| Compound Poisson processes \| Copula-based dependence

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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