We study the recursive moments of aggregate discounted claims, where the dependence between the inter-claim time and … of successive approximation to derive the Neumann series of the recursive moments. We then compute the first two moments …

moments; DCC does not have testable regularity conditions; DCC yields inconsistent two step estimators; DCC has no asymptotic …

moments; DCC does not have testable regularity conditions; DCC yields inconsistent two step estimators; DCC has no asymptotic …

preferences in terms of statistical moments. An implication is, for example, that prudence implies preference for distributions … with higher skewness as defined by all odd moments. Moreover, we show that this preference is robust towards variation in … kurtosis as defined by all even moments. We thus speak of the kurtosis robustness feature of prudence. Further, we show that …

these analyses. We first derive first and second moments conditional on only a set of regime probabilities. Next, we propose … generalized impulse response functions of first and second moments to shocks originating from the regime process, the structural …