Discrete-Time Risk Models Based on Time Series for Count Random Variables

DOI10.2143/AST.40.1.2049221zbMath1230.91071OpenAlexW2036357755MaRDI QIDQ3569709

Hélène Cossette, Véronique Maume-Deschamps, Étienne Marceau

Publication date: 21 June 2010

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2143/ast.40.1.2049221

zbMATH Keywords

discrete-time risk modelMarkovian environmentLundberg coefficientPoisson AR(1) processPoisson MA(1) processMarkov Bernoulli process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Related Items (16)

Precise large deviations of aggregate claims in a discrete-time risk model with Poisson ARCH claim-number process ⋮ Ruin probability in a correlated aggregate claims model with common Poisson shocks: application to reinsurance ⋮ A discrete-time risk model with Poisson ARCH claim-number process ⋮ Risk aggregation with dependence and overdispersion based on the compound Poisson INAR(1) process ⋮ On the analysis of a discrete-time risk model with INAR(1) processes ⋮ Optimal reinsurance under adjustment coefficient measure in a discrete risk model based on Poisson MA(1) process ⋮ Parameter estimation and diagnostic tests for INMA(1) processes ⋮ Risk model based on the first-order integer-valued moving average process with compound Poisson distributed innovations ⋮ Copula models for insurance claim numbers with excess zeros and time-dependence ⋮ Adjustment coefficient for risk processes in some dependent contexts ⋮ Risk aggregation based on the Poisson INAR(1) process with periodic structure ⋮ An Approximation Model of the Collective Risk Model with INAR(1) Claim Process ⋮ Bidimensional discrete-time risk models based on bivariate claim count time series ⋮ On the evaluation of risk models with bivariate integer-valued time series ⋮ Ruin-based risk measures in discrete-time risk models ⋮ MULTIVARIATE DISTRIBUTIONS WITH TIME AND CROSS-DEPENDENCE: AGGREGATION AND CAPITAL ALLOCATION

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