Risk models based on time series for count random variables
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Publication:2276203
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Cites work
- scientific article; zbMATH DE number 1808197 (Why is no real title available?)
- scientific article; zbMATH DE number 1237531 (Why is no real title available?)
- scientific article; zbMATH DE number 1249326 (Why is no real title available?)
- scientific article; zbMATH DE number 1134711 (Why is no real title available?)
- scientific article; zbMATH DE number 1959513 (Why is no real title available?)
- scientific article; zbMATH DE number 805121 (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?)
- Autoregressive moving-average processes with negative-binomial and geometric marginal distributions
- FIRST-ORDER INTEGER-VALUED AUTOREGRESSIVE (INAR(1)) PROCESS
- Integer-valued moving average (INMA) process
- Loss Models
- On the class of Erlang mixtures with risk theoretic applications
- Ruin theory in the linear model
- Some ARMA models for dependent sequences of poisson counts
- The probability of ruin in a process with dependent increments
Cited in
(24)- Risk aggregation based on the Poisson INAR(1) process with periodic structure
- Bayesian solvency analysis with autocorrelated observations
- Risk model based on the first-order integer-valued moving average process with compound Poisson distributed innovations
- Parameter estimation and diagnostic tests for INMA(1) processes
- Bidimensional discrete-time risk models based on bivariate claim count time series
- A new thinning-based \(\mathrm{INAR}(1)\) process for underdispersed or overdispersed counts
- \(\mathrm{G}/\mathrm{M}/1\) type structure of a risk model with general claim sizes in a Markovian environment
- On the evaluation of risk models with bivariate integer-valued time series
- Duration dependence models for claim counts
- Risk measurement for conditionally heteroscedastic location-scale time series models with ASTD and AEPD innovations
- Optimal reinsurance under adjustment coefficient measure in a discrete risk model based on Poisson MA(1) process
- Discrete-time risk models on time series for count random variables
- Ruin probability in a correlated aggregate claims model with common Poisson shocks: application to reinsurance
- Flexible INAR(1) models for equidispersed, underdispersed or overdispersed counts
- An approximation model of the collective risk model with INAR(1) claim process
- Forecasting aggregate claims using score‐driven time series models
- A Markov-switching generalized additive model for compound Poisson processes, with applications to operational loss models
- Model diagnostics for Poisson INARMA processes using bivariate dispersion indexes
- A combined integer-valued autoregressive process with actuarial applications
- A discrete-time risk model with Poisson ARCH claim-number process
- Risk aggregation with dependence and overdispersion based on the compound Poisson INAR(1) process
- Copula models for insurance claim numbers with excess zeros and time-dependence
- On the analysis of a discrete-time risk model with INAR(1) processes
- Multivariate distributions with time and cross-dependence: aggregation and capital allocation
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