Discrete-Time risk models based on time series for count...

Persistent link
MARCXML Dublin Core RDF MODS Cita bibliográfica BibTeX SWAP METS
 

Record image

Articles Articles Discrete-Time risk models based on time series for count random variables - Cossette, Hélène

Collection: Articles

Title: Discrete-Time risk models based on time series for count random variables / Hélène Cossette, Etienne Marceau, Véronique Maume-Deschamps

Notes: Sumario: In this paper, we consider various specifications of the general discrete-time risk model in which a serial dependence structure is introduced between the claim numbers for each period. We consider risk models based on compound distributions assuming several examples of discrete variate time series as specific temporal dependence structures: Poisson MA(1) process, Poisson AR(1) process, Markov Bernoulli process and Markov regime-switching process. In these models, we derive expressions for a function that allow us to find the Lundberg coefficient. Specific cases for which an explicit expression can be found for the Lundberg coefficient are also presented. Numerical examples are provided to illustrate different topics discussed in the paper.

Other categories: 6

Derechos: In Copyright (InC): http://rightsstatements.org/vocab/InC/1.0/

See issue detail See issue detail