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Moments of compound renewal sums with discounted claims. (English) Zbl 0988.91045
Exact expressions for the first two moments of compound renewal present value risk processes are obtained. Renewal theory arguments are used. Some examples, extensions and limiting results are given.

MSC:
91B30 Risk theory, insurance (MSC2010)
60K20 Applications of Markov renewal processes (reliability, queueing networks, etc.)
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