Affiliations: [a] Department of Economics and Econometrics, University of Johannesburg, Auckland Park Campus, New Zealand E-mail: [email protected]
School of Economics, University of Johannesburg, Johannesburg 2006, South Africa. E-mail: [email protected]
Abstract: In this paper we propose a quadratic predictor of the compound discounted renewal aggregate claims when taking into account dependence within the inter-occurrence times. We compare the accuracy of the proposed quadratic predictor to the simulated value of that sum, by using specific mixture of exponential distributions to define the dependence structure between the inter-occurrence times.