Bidimensional discrete-time risk models based on bivariate claim count time series

DOI10.1186/S13660-015-0618-3zbMath1308.91091OpenAlexW2152335995WikidataQ59435567 ScholiaQ59435567MaRDI QIDQ2017440

Dongxing Ma, De-Hui Wang, Jian-hua Cheng

Publication date: 20 March 2015

Published in: Journal of Inequalities and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1186/s13660-015-0618-3

zbMATH Keywords

large deviationsruin probabilityvalue-at-riskadjustment coefficientbidimensional discrete-time risk modelbivariate Poisson \(\operatorname{AR}(1)\)bivariate Poisson \(\operatorname{MA}(1)\)

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Large deviations (60F10)

Related Items (1)

Inference for bivariate integer-valued moving average models based on binomial thinning operation

Cites Work

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