An Approximation Model of the Collective Risk Model with INAR(1) Claim Process

DOI10.1080/03610926.2012.729636zbMath1308.62178MaRDI QIDQ5177622

Haifang Shi, De-Hui 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 model; INAR(1); upper bound of ruin probability; adjustmment coefficient

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

60G70: Extreme value theory; extremal stochastic processes

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Cites Work

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• Discrete analogues of self-decomposability and stability
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• Upper bounds for ultimate ruin probabilities in the Sparre Andersen model with interest.
• Inequalities for the ruin probability in a controlled discrete-time risk process
• Risk models based on time series for count random variables
• Dependence properties and bounds for ruin probabilities in multivariate compound risk models
• Ruin probabilities in the discrete time renewal risk model
• Discrete-Time Risk Models Based on Time Series for Count Random Variables
• Rough descriptions of ruin for a general class of surplus processes