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Risk models based on time series for count random variables

In this paper, we generalize the classical discrete time risk model by introducing a dependence relationship in time between the claim frequencies. The models used are the Poisson autoregressive model and the Poisson moving average model. In particular, the aggregate claim amount and related quantities such as the stop-loss premium, value at risk and tail value at risk are discussed within this framework.
Year of publication:
2011
Authors: Cossette, Hélène ; Marceau, Étienne ; Toureille, Florent
Published in:
Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 48.2011, 1, p. 19-28
Publisher: Elsevier
Keywords: Discrete time risk model Dependence Poisson MA(1) process Poisson MA(q) process Poisson AR(1) process
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10008865461
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