Risk aggregation with dependence and overdispersion based on the compound Poisson INAR(1) process

DOI10.1080/03610926.2019.1594297OpenAlexW2929968975WikidataQ128203207 ScholiaQ128203207MaRDI QIDQ5077477

Xiang Hu, Mi Chen

Publication date: 18 May 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2019.1594297

zbMATH Keywords

INAR(1) processoverdispersiondependencecompound Poisson distributiondiscounted aggregate claim amount

Mathematics Subject Classification ID

Statistics (62-XX)

Uses Software

• QRM

Cites Work

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• Discrete-Time Risk Models Based on Time Series for Count Random Variables
• Optimal reinsurance under adjustment coefficient measure in a discrete risk model based on Poisson MA(1) process
• On the Class of Erlang Mixtures with Risk Theoretic Applications
• An Approximation Model of the Collective Risk Model with INAR(1) Claim Process
• Loss Models

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