Risk models based on time series for count random variables

DOI10.1016/J.INSMATHECO.2010.08.007zbMATH Open1218.91074OpenAlexW2041917458MaRDI QIDQ2276203FDOQ2276203

Authors: Florent Toureille, Hélène Cossette, É. Marceau 

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

Recommendations

• Discrete-time risk models on time series for count random variables
• Risk aggregation with dependence and overdispersion based on the compound Poisson INAR(1) process
• Risk aggregation based on the Poisson INAR(1) process with periodic structure
• 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

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)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• FIRST-ORDER INTEGER-VALUED AUTOREGRESSIVE (INAR(1)) PROCESS
• Loss Models
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Some ARMA models for dependent sequences of poisson counts
• Title not available (Why is that?)
• On the class of Erlang mixtures with risk theoretic applications
• Title not available (Why is that?)
• Autoregressive moving-average processes with negative-binomial and geometric marginal distributions
• Integer-valued moving average (INMA) process
• Ruin theory in the linear model
• 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
• A new thinning-based \(\mathrm{INAR}(1)\) process for underdispersed or overdispersed counts
• Bidimensional discrete-time risk models based on bivariate claim count time series
• \(\mathrm{G}/\mathrm{M}/1\) 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
• An approximation model of the collective risk model with INAR(1) claim process
• Flexible INAR(1) models for equidispersed, underdispersed or overdispersed counts
• 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

Uses Software

• QRM

This page was built for publication: Risk models based on time series for count random variables

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2276203)