Risk models based on time series for count random variables

DOI10.1016/j.insmatheco.2010.08.007zbMath1218.91074OpenAlexW2041917458MaRDI QIDQ2276203

Florent Toureille, Étienne Marceau, Hélène Cossette

Publication date: 1 August 2011

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2010.08.007

zbMATH Keywords

dependencediscrete time risk modelPoisson AR(1) processPoisson MA(1) processPoisson MA(q) 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)

Related Items (17)

\(\mathrm{G}/\mathrm{M}/1\) type structure of a risk model with general claim sizes in a Markovian environment ⋮ A new thinning-based \(\mathrm{INAR}(1)\) process for underdispersed or overdispersed counts ⋮ Ruin probability in a correlated aggregate claims model with common Poisson shocks: application to reinsurance ⋮ 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 ⋮ On the analysis of a discrete-time risk model with INAR(1) processes ⋮ Optimal reinsurance under adjustment coefficient measure in a discrete risk model based on Poisson MA(1) process ⋮ Parameter estimation and diagnostic tests for INMA(1) processes ⋮ Risk model based on the first-order integer-valued moving average process with compound Poisson distributed innovations ⋮ Copula models for insurance claim numbers with excess zeros and time-dependence ⋮ Risk aggregation based on the Poisson INAR(1) process with periodic structure ⋮ An Approximation Model of the Collective Risk Model with INAR(1) Claim Process ⋮ Bidimensional discrete-time risk models based on bivariate claim count time series ⋮ On the evaluation of risk models with bivariate integer-valued time series ⋮ Model diagnostics for Poisson INARMA processes using bivariate dispersion indexes ⋮ MULTIVARIATE DISTRIBUTIONS WITH TIME AND CROSS-DEPENDENCE: AGGREGATION AND CAPITAL ALLOCATION ⋮ Flexible INAR(1) models for equidispersed, underdispersed or overdispersed counts

Uses Software

• QRM

Cites Work

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• The probability of ruin in a process with dependent increments
• Ruin theory in the linear model
• 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
• FIRST-ORDER INTEGER-VALUED AUTOREGRESSIVE (INAR(1)) PROCESS
• On the Class of Erlang Mixtures with Risk Theoretic Applications
• Loss Models

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