Discrete-Time Risk Models Based on Time Series for Count Random Variables

DOI10.2143/AST.40.1.2049221zbMath1230.91071OpenAlexW2036357755MaRDI QIDQ3569709

Hélène Cossette, Véronique Maume-Deschamps, Étienne Marceau

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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