Moment properties of Markov chain-based claim processes

Aggregate discrete random variables (rvs) may have several possible scenarios: the number of rvs is either deterministic or stochastic; sequence of rvs may be (in)dependent and (not) identically distributed. In this paper, we investigate claim process as deterministic aggregate of dependent discrete rvs constructed from two-states and three-states Markov chain (MC) processes. In particular, the moment properties of such process are explored. We...