Risk aggregation based on the Poisson INAR(1) process with periodic structure

DOI10.1007/S10986-018-9412-5MaRDI QIDQ1728126zbMATH OpenOpenAlexWikidataFDO

Authors Nannan Yuan, Xiang Hu, Mi Chen

Publication date 22 February 2019

Published in Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10986-018-9412-5

zbMATH Keywords

dependenceperiodic structureaggregate claimsPoisson INAR(1) process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 5321684 (Why is no real title available?)
• scientific article; zbMATH DE number 1249326 (Why is no real title available?)
• scientific article; zbMATH DE number 3333061 (Why is no real title available?)
• scientific article; zbMATH DE number 2231189 (Why is no real title available?)
• Discrete-time risk models on time series for count random variables
• Equilibrium compound distributions and stop-loss moments
• Integer-valued autoregressive processes with periodic structure
• Loss models. Further topics
• Notes on discrete compound Poisson model with applications to risk theory
• On A Surplus Process Under A Periodic Environment
• On the class of Erlang mixtures with risk theoretic applications
• Optimal reinsurance under adjustment coefficient measure in a discrete risk model based on Poisson MA(1) process
• Risk models based on time series for count random variables
• Ruin probabilities in multivariate risk models with periodic common shock
• Thinning operations for modeling time series of counts -- a survey

Cited in

(7)

• On double periodic non-homogeneous Poisson processes
• Risk models based on time series for count random variables
• Risk model based on the first-order integer-valued moving average process with compound Poisson distributed innovations
• On the evaluation of risk models with bivariate integer-valued time series
• On some periodic INARMA(p,q) models
• 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

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