Title of article :
Risk models based on time series for count random variables
Author/Authors :
Cossette، نويسنده , , Hélène and Marceau، نويسنده , , ةtienne and Toureille، نويسنده , , Florent، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2011
Abstract :
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.
Keywords :
Poisson MA(1) process , Poisson AR(1) process , Poisson MA(q) process , dependence , Discrete time risk model
Journal title :
Insurance Mathematics and Economics
Journal title :
Insurance Mathematics and Economics