Risk aggregation with dependence and overdispersion based on the compound Poisson INAR(1) process

DOI10.1080/03610926.2019.1594297MaRDI QIDQ5077477zbMATH OpenOpenAlexWikidataFDO

Authors Mi Chen, Xiang Hu

Publication date 18 May 2022

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2019.1594297

zbMATH Keywords

overdispersiondependencecompound Poisson distributionINAR(1) processdiscounted aggregate claim amount

Mathematics Subject Classification ID

Statistics (62-XX)

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Cites work

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• A new discrete distribution with actuarial applications
• An approximation model of the collective risk model with INAR(1) claim process
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• Compound Poisson INAR(1) processes: stochastic properties and testing for overdispersion
• Discrete-time risk models on time series for count random variables
• Heterogeneous INAR(1) model with application to car insurance
• Loss Models
• Notes on discrete compound Poisson model with applications to risk theory
• On the class of Erlang mixtures with risk theoretic applications
• Optimal reinsurance under adjustment coefficient measure in a discrete risk model based on Poisson MA(1) process
• Queueing systems of INAR(1) processes with compound Poisson arrivals
• Risk models based on time series for count random variables
• Thinning operations for modeling time series of counts -- a survey

Cited in

(9)

• A heavy-tailed and overdispersed collective risk model
• Modeling and Generating Dependent Risk Processes for IRM and DFA
• Risk aggregation based on the Poisson INAR(1) process with periodic structure
• Risk models based on time series for count random variables
• On the analysis of a discrete-time risk model with INAR(1) processes
• Analysis of an aggregate loss model in a Markov renewal regime
• On the evaluation of risk models with bivariate integer-valued time series
• Multivariate distributions with time and cross-dependence: aggregation and capital allocation
• Risk model based on the first-order integer-valued moving average process with compound Poisson distributed innovations

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Uses Software

• QRM

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