. Insurance. Claims are made on an insurance fund at the
Question and Solution
. Insurance. Claims are made on an insurance fund at the events (Sn; n ? 1) of a Poisson process with constant intensity
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. Insurance. Claims are made on an insurance fund at the events (Sn; n ? 1) of a Poisson process with constant intensity ?. The rth claim is Cr, where the Cr are independent with density f (x), and independent of the Poisson process. The present discounted liability of a claim C at time t is C e??t. Show that the present total discounted liability D of this claim stream D = n Cn e??Sn has mean and variance ED = ?EC1/?, var D = ?E(C12)/2?.
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