Compound Poisson-Lindley process with sarmanov dependence structure and its application for premium-based spectral risk forecasting

DOI10.1016/J.AMC.2023.128492MaRDI QIDQ6130165FDOQ6130165

Authors: K. I. A. Syuhada, Venansius R. Tjahjono 

Publication date: 18 April 2024

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

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zbMATH Keywords

collective risk modeloverdispersionspectral risk measurecompound Poisson-Lindley processdependent claim frequency and severitysarmanov distribution

Mathematics Subject Classification ID

Applications of statistics (62Pxx) Actuarial science and mathematical finance (91Gxx) Mathematical economics (91Bxx)

Cited In (3)

• Bivariate distribution regression with application to insurance data
• A simple Bayesian state-space approach to the collective risk models
• Spatial copula-based modeling of claim frequency and claim size in third-party car insurance: a Poisson-mixed approach for predictive analysis

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