On the evaluation of risk models with bivariate integer-valued time series

DOI10.1007/s10986-021-09537-6zbMath1480.62174OpenAlexW3203236967MaRDI QIDQ2058429

Xiang Hu, Mi Chen

Publication date: 9 December 2021

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10986-021-09537-6

zbMATH Keywords

aggregate claim amountdependencebivariate risk modelPoisson BINAR(1) processPoisson BINMA(1) process

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Risk models (general) (91B05)

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