Poisson compounding of dependent random variables: A stochastic model for total claim costs

DOI10.1016/0895-7177(93)90136-MMaRDI QIDQ1324317zbMATH OpenOpenAlexFDO

Authors John E. Angus

Publication date 28 August 1994

Published in Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0895-7177(93)90136-m

zbMATH Keywords

asymptotic theorycentral limit theoremcompound Poisson processnonstationary process

Mathematics Subject Classification ID

General second-order stochastic processes (60G12) Signal detection and filtering (aspects of stochastic processes) (60G35)

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Cites work

• A central limit theorem for autoregressive integrated moving average processes
• scientific article; zbMATH DE number 3854249 (Why is no real title available?)
• scientific article; zbMATH DE number 4102349 (Why is no real title available?)
• scientific article; zbMATH DE number 3709377 (Why is no real title available?)
• scientific article; zbMATH DE number 3395169 (Why is no real title available?)

Cited in

(10)

• A central limit theorem for autoregressive integrated moving average processes
• On a perturbed compound Poisson model with varying premium rates
• scientific article; zbMATH DE number 495886 (Why is no real title available?)
• Claims Reserving Using Tweedie's Compound Poisson Model
• scientific article; zbMATH DE number 6948242 (Why is no real title available?)
• COMPOUND POISSON CLAIMS RESERVING MODELS: EXTENSIONS AND INFERENCE
• Finite time ruin probability and structural density properties in the presence of dependence in insurance risk model
• On the total claim amount for marked Poisson cluster models
• scientific article; zbMATH DE number 5259832 (Why is no real title available?)
• Applications of the classical compound Poisson model with claim sizes following a compound distribution

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