Bidimensional discrete-time risk models based on bivariate claim count time series
From MaRDI portal
Publication:2017440
DOI10.1186/s13660-015-0618-3zbMath1308.91091WikidataQ59435567 ScholiaQ59435567MaRDI QIDQ2017440
Dongxing Ma, De-Hui Wang, Jian-hua Cheng
Publication date: 20 March 2015
Published in: Journal of Inequalities and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1186/s13660-015-0618-3
large deviations; ruin probability; value-at-risk; adjustment coefficient; bidimensional discrete-time risk model; bivariate Poisson \(\operatorname{AR}(1)\); bivariate Poisson \(\operatorname{MA}(1)\)
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
91B84: Economic time series analysis
60F10: Large deviations
Related Items
Cites Work
- A two-dimensional ruin problem on the positive quadrant
- On the ruin probabilities of a bidimensional perturbed risk model
- Survival probability for a two-dimensional risk model
- Asymptotic ruin probabilities for risk processes with dependent increments.
- Some results on ruin probabilities in a two-dimensional risk model.
- Risk models based on time series for count random variables
- Dependence properties and bounds for ruin probabilities in multivariate compound risk models
- On the first time of ruin in the bivariate compound Poisson model
- Asymptotics for the ruin probabilities of a two-dimensional renewal risk model with heavy-tailed claims
- A Two-Dimensional Risk Model with Proportional Reinsurance
- Bivariate Time Series Modeling of Financial Count Data
- Discrete-Time Risk Models Based on Time Series for Count Random Variables
- A Family of Bivariate Distributions Generated by the Bivariate Bernoulli Distribution
- Autoregressive moving-average processes with negative-binomial and geometric marginal distributions
- Integer-valued moving average (INMA) process
- Some ARMA models for dependent sequences of poisson counts
- Rough descriptions of ruin for a general class of surplus processes
- Logarithmic asymptotics for steady-state tail probabilities in a single-server queue
- FIRST-ORDER INTEGER-VALUED AUTOREGRESSIVE (INAR(1)) PROCESS
- A bivariate INAR(1) process with application
