Exchangeable claim sizes in a compound Poisson-type process

DOI10.1002/ASMB.814MaRDI QIDQ3103175zbMATH OpenOpenAlexFDO

Authors Ramsés H. Mena, Luis E. Nieto-Barajas

Publication date 26 November 2011

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/asmb.814

zbMATH Keywords

panel datarisk modelcompound Poisson processexchangeable sequencesBayesian nonparametric analysisexchangeable claim processes

Mathematics Subject Classification ID

Bayesian inference (62F15) Inference from stochastic processes (62M99) Exchangeability for stochastic processes (60G09)

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Cites work

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• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
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• Are Maintenance Practices for Railroad Tracks Effective?
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• Ruin probability with claims modeled by a stationary ergodic stable process.
• Ruin theory in the linear model
• Semiparametric Bayesian Analysis of Survival Data
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• The central limit theorem for exchangeable random variables without moments
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Cited in

(4)

• The maximum surplus in a finite-time interval for a discrete-time risk model with exchangeable, dependent claim occurrences
• Ruin probabilities for Bayesian exchangeable claims processes
• Modeling of claim exceedances over random thresholds for related insurance portfolios
• Applications of the classical compound Poisson model with claim sizes following a compound distribution

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