Risk model based on the first-order integer-valued moving average process with compound Poisson distributed innovations

DOI10.1080/03461238.2017.1371067zbMath1416.91190OpenAlexW2751949357MaRDI QIDQ4583611

Lianzeng Zhang, Xiang Hu, Sun, Weiwei

Publication date: 31 August 2018

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2017.1371067

zbMATH Keywords

aggregate claim amountadjustment coefficientdependence structurecompound Poisson distributed innovationsINMA(1) process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (4)

On the analysis of a discrete-time risk model with INAR(1) processes ⋮ Parameter estimation and diagnostic tests for INMA(1) processes ⋮ On the evaluation of risk models with bivariate integer-valued time series ⋮ Model diagnostics for Poisson INARMA processes using bivariate dispersion indexes

Uses Software

• R
• QRM

Cites Work

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• Optimal reinsurance under adjustment coefficient measure in a discrete risk model based on Poisson MA(1) process
• On the Class of Erlang Mixtures with Risk Theoretic Applications
• Univariate Discrete Distributions
• Loss Models

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