An approximation model of the collective risk model with INAR(1) claim process

DOI10.1080/03610926.2012.729636MaRDI QIDQ5177622zbMATH OpenOpenAlexFDO

Authors Haifang Shi, Dehui Wang

Publication date 13 March 2015

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

Full work available at URL https://doi.org/10.1080/03610926.2012.729636

zbMATH Keywords

approximate modelINAR(1)upper bound of ruin probabilityadjustmment coefficient

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Extreme value theory; extremal stochastic processes (60G70) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• Asymptotic ruin probabilities for risk processes with dependent increments.
• Dependence properties and bounds for ruin probabilities in multivariate compound risk models
• Discrete analogues of self-decomposability and stability
• Discrete-time risk models on time series for count random variables
• Inequalities for the ruin probability in a controlled discrete-time risk process
• Risk models based on time series for count random variables
• Rough descriptions of ruin for a general class of surplus processes
• Ruin probabilities in the discrete time renewal risk model
• Ultimate ruin probability in the Sparre Andersen model with dependent claim sizes and claim occurrence times
• Upper bounds for ultimate ruin probabilities in the Sparre Andersen model with interest.

Cited in

(8)

• scientific article; zbMATH DE number 6611158 (Why is no real title available?)
• Modeling overdispersed or underdispersed count data with generalized Poisson integer-valued autoregressive processes
• Estimation and testing for the integer-valued threshold autoregressive models based on negative binomial thinning
• Generalized Poisson integer-valued autoregressive processes with structural changes
• Random coefficients integer-valued threshold autoregressive processes driven by logistic regression
• Asymptotic inference for moderate deviations from a unit root of nearly unstable INAR(1) processes
• Risk aggregation with dependence and overdispersion based on the compound Poisson INAR(1) process
• Threshold autoregression analysis for finite-range time series of counts with an application on measles data

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