Discrete-time risk models on time series for count random variables

DOI10.2143/AST.40.1.2049221MaRDI QIDQ3569709zbMATH OpenOpenAlexFDO

Authors Hélène Cossette, É. Marceau, Véronique Maume-Deschamps

Publication date 21 June 2010

Published in ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2143/ast.40.1.2049221

zbMATH Keywords

discrete-time risk modelMarkovian environmentLundberg coefficientPoisson AR(1) processPoisson MA(1) processMarkov Bernoulli process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

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Cited in

(21)

• An approximation model of the collective risk model with INAR(1) claim process
• Precise large deviations of aggregate claims in a discrete-time risk model with Poisson ARCH claim-number process
• A time-series risk model with constant interest for dependent classes of business
• Parameter estimation and diagnostic tests for INMA(1) processes
• Adjustment coefficient for risk processes in some dependent contexts
• Ruin-based risk measures in discrete-time risk models
• Risk aggregation based on the Poisson INAR(1) process with periodic structure
• Risk models based on time series for count random variables
• 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
• Optimal reinsurance under adjustment coefficient measure in a discrete risk model based on Poisson MA(1) process
• On the evaluation of risk models with bivariate integer-valued time series
• Multivariate distributions with time and cross-dependence: aggregation and capital allocation
• Bidimensional discrete-time risk models based on bivariate claim count time series
• A review of discrete-time risk models
• Risk aggregation with dependence and overdispersion based on the compound Poisson INAR(1) process
• A discrete-time risk model with Poisson ARCH claim-number process
• Ruin probability in a correlated aggregate claims model with common Poisson shocks: application to reinsurance
• Risk model based on the first-order integer-valued moving average process with compound Poisson distributed innovations
• A combined integer-valued autoregressive process with actuarial applications
• Ruin probabilities as recurrence sequences in a discrete-time risk process

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