On the analysis of a discrete-time risk model with INAR(1) processes

DOI10.1080/03461238.2021.1937305MaRDI QIDQ5083403zbMATH OpenOpenAlexFDO

Authors Guohui Guan, Xiang Hu

Publication date 20 June 2022

Published in Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03461238.2021.1937305

zbMATH Keywords

overdispersionzero inflationmixed Erlang distributionINAR(1) processdiscounted aggregate claims

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

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• Collective risk models with dependence
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• Discrete-time risk models on time series for count random variables
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• Modeling dependent risks with multivariate Erlang mixtures
• Multivariate distribution defined with Farlie-Gumbel-Morgenstern copula and mixed Erlang marginals: aggregation and capital allocation
• 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
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• Risk model based on the first-order integer-valued moving average process with compound Poisson distributed innovations
• Risk models based on time series for count random variables
• Rough descriptions of ruin for a general class of surplus processes
• Ruin-based risk measures in discrete-time risk models
• Stochastic orders
• TVaR-based capital allocation for multivariate compound distributions with positive continuous claim amounts
• Thinning operations for modeling time series of counts -- a survey

Cited in

(5)

• Change-point analysis for binomial autoregressive model with application to price stability counts
• Risk aggregation based on the Poisson INAR(1) process with periodic structure
• Discrete-time risk models on time series for count random variables
• 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

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