Bidimensional discrete-time risk models based on bivariate claim count time series

DOI10.1186/S13660-015-0618-3zbMATH Open1308.91091OpenAlexW2152335995WikidataQ59435567 ScholiaQ59435567MaRDI QIDQ2017440FDOQ2017440

Dongxing Ma, Dehui Wang, Jianhua 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

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zbMATH Keywords

large deviationsruin probabilityvalue-at-riskadjustment coefficientbidimensional discrete-time risk modelbivariate Poisson \(\operatorname{AR}(1)\)bivariate Poisson \(\operatorname{MA}(1)\)

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Large deviations (60F10) Economic time series analysis (91B84)

Cites Work

• FIRST-ORDER INTEGER-VALUED AUTOREGRESSIVE (INAR(1)) PROCESS
• A bivariate INAR(1) process with application
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• Some results on ruin probabilities in a two-dimensional risk model.
• 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 ruin problem on the positive quadrant
• On the ruin probabilities of a bidimensional perturbed risk model
• Discrete-Time Risk Models Based on Time Series for Count Random Variables
• Dependence properties and bounds for ruin probabilities in multivariate compound risk models
• Survival probability for a two-dimensional risk model
• Risk models based on time series for count random variables
• A Two-Dimensional Risk Model with Proportional Reinsurance
• Logarithmic asymptotics for steady-state tail probabilities in a single-server queue
• Autoregressive moving-average processes with negative-binomial and geometric marginal distributions
• Integer-valued moving average (INMA) process
• Asymptotic ruin probabilities for risk processes with dependent increments.
• Bivariate Time Series Modeling of Financial Count Data
• Rough descriptions of ruin for a general class of surplus processes

Cited In (1)

• Inference for bivariate integer-valued moving average models based on binomial thinning operation

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