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

DOI10.1080/03610926.2019.1594297OpenAlexW2929968975WikidataQ128203207 ScholiaQ128203207MaRDI QIDQ5077477FDOQ5077477

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

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zbMATH Keywords

overdispersiondependencecompound Poisson distributionINAR(1) processdiscounted aggregate claim amount

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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

Cited In (9)

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

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