Heterogeneous INAR(1) model with application to car insurance
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Publication:868313
DOI10.1016/J.INSMATHECO.2003.11.005zbMATH Open1107.62110OpenAlexW1970438462WikidataQ29396152 ScholiaQ29396152MaRDI QIDQ868313FDOQ868313
Authors: Christian Gouriéroux, J. Jasiak 
Publication date: 2 March 2007
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2003.11.005
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Cited In (30)
- Asymptotic behavior of multitype nearly critical Galton-Watson processes with immigration
- Risk model based on the first-order integer-valued moving average process with compound Poisson distributed innovations
- Semiparametric independence testing for time series of counts and the role of the support
- On strongly dependent zero-inflated INAR(1) processes
- Asymptotic behavior of unstable INAR(\(p\)) processes
- Change-point analysis for binomial autoregressive model with application to price stability counts
- Allowing for time and cross dependence assumptions between claim counts in ratemaking models
- The use of annual mileage as a rating variable
- Queueing systems of INAR(1) processes with compound Poisson arrivals
- Correlated risks vs contagion in stochastic transition models
- Comment on: Subsampling weakly dependent time series and application to extremes
- On the evaluation of risk models with bivariate integer-valued time series
- Risk classification for claim counts: a comparative analysis of various zero-inflated mixed Poisson and hurdle models
- A POSTERIORI RATEMAKING WITH PANEL DATA
- Optimal reinsurance under adjustment coefficient measure in a discrete risk model based on Poisson MA(1) process
- Discrete-time risk models on time series for count random variables
- On the ordering of credibility factors
- Ruin probability and joint distributions of some actuarial random vectors in the compound Pascal model
- On some periodic INARMA(p,q) models
- Local asymptotic normality and efficient estimation for INAR(p) models
- A combined integer-valued autoregressive process with actuarial applications
- Implications for hedging of the choice of driving process for one-factor Markov-functional models
- Integer autoregressive models with structural breaks
- The asymptotic structure of nearly unstable non-negative integer-valued AR(1) models
- Structural Laplace Transform and Compound Autoregressive Models
- Risk aggregation with dependence and overdispersion based on the compound Poisson INAR(1) process
- On the analysis of a discrete-time risk model with INAR(1) processes
- Multivariate distributions with time and cross-dependence: aggregation and capital allocation
- Bivariate integer-autoregressive process with an application to mutual fund flows
- Negative binomial autoregressive process with stochastic intensity
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