An Approximation Model of the Collective Risk Model with INAR(1) Claim Process

DOI10.1080/03610926.2012.729636zbMath1308.62178OpenAlexW2035623448MaRDI QIDQ5177622

Haifang Shi, De-Hui Wang

Publication date: 13 March 2015

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2012.729636

zbMATH Keywords

approximate modelINAR(1)upper bound of ruin probabilityadjustmment coefficient

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Extreme value theory; extremal stochastic processes (60G70)

Related Items (7)

Risk aggregation with dependence and overdispersion based on the compound Poisson INAR(1) process ⋮ Estimation and testing for the integer-valued threshold autoregressive models based on negative binomial thinning ⋮ Asymptotic inference for moderate deviations from a unit root of nearly unstable INAR(1) processes ⋮ Threshold autoregression analysis for finite-range time series of counts with an application on measles data ⋮ Random coefficients integer-valued threshold autoregressive processes driven by logistic regression ⋮ Modeling overdispersed or underdispersed count data with generalized Poisson integer-valued autoregressive processes ⋮ Generalized Poisson integer-valued autoregressive processes with structural changes

Cites Work

• Ultimate ruin probability in the Sparre Andersen model with dependent claim sizes and claim occurrence times
• Discrete analogues of self-decomposability and stability
• Asymptotic ruin probabilities for risk processes with dependent increments.
• Upper bounds for ultimate ruin probabilities in the Sparre Andersen model with interest.
• Inequalities for the ruin probability in a controlled discrete-time risk process
• Risk models based on time series for count random variables
• Dependence properties and bounds for ruin probabilities in multivariate compound risk models
• Ruin probabilities in the discrete time renewal risk model
• Discrete-Time Risk Models Based on Time Series for Count Random Variables
• Rough descriptions of ruin for a general class of surplus processes

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