Heterogeneous INAR(1) model with application to car insurance

DOI10.1016/j.insmatheco.2003.11.005zbMath1107.62110OpenAlexW1970438462WikidataQ29396152 ScholiaQ29396152MaRDI QIDQ868313

Christian Gouriéroux, Joanna Jasiak

Publication date: 2 March 2007

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2003.11.005

zbMATH Keywords

count datacar insurancenonlinear autoregressionbonus-malus

Mathematics Subject Classification ID

Related Items (26)

Allowing for time and cross dependence assumptions between claim counts in ratemaking models ⋮ On some periodic INARMA(p,q) models ⋮ Queueing Systems of INAR(1) Processes with Compound Poisson Arrivals ⋮ Asymptotic Behavior of Multitype Nearly Critical Galton--Watson Processes with Immigration ⋮ THE USE OF ANNUAL MILEAGE AS A RATING VARIABLE ⋮ Risk aggregation with dependence and overdispersion based on the compound Poisson INAR(1) process ⋮ On the analysis of a discrete-time risk model with INAR(1) processes ⋮ Optimal reinsurance under adjustment coefficient measure in a discrete risk model based on Poisson MA(1) process ⋮ The asymptotic structure of nearly unstable non-negative integer-valued AR(1) models ⋮ On the ordering of credibility factors ⋮ Risk model based on the first-order integer-valued moving average process with compound Poisson distributed innovations ⋮ Ruin probability and joint distributions of some actuarial random vectors in the compound Pascal model ⋮ Integer autoregressive models with structural breaks ⋮ Negative Binomial Autoregressive Process with Stochastic Intensity ⋮ Local asymptotic normality and efficient estimation for INAR(p) models ⋮ Correlated risks vs contagion in stochastic transition models ⋮ Discrete-Time Risk Models Based on Time Series for Count Random Variables ⋮ Comment on: Subsampling weakly dependent time series and application to extremes ⋮ Asymptotic behavior of unstable INAR(\(p\)) processes ⋮ Bivariate integer-autoregressive process with an application to mutual fund flows ⋮ SEMIPARAMETRIC INDEPENDENCE TESTING FOR TIME SERIES OF COUNTS AND THE ROLE OF THE SUPPORT ⋮ A POSTERIORI RATEMAKING WITH PANEL DATA ⋮ On the evaluation of risk models with bivariate integer-valued time series ⋮ MULTIVARIATE DISTRIBUTIONS WITH TIME AND CROSS-DEPENDENCE: AGGREGATION AND CAPITAL ALLOCATION ⋮ Risk Classification for Claim Counts ⋮ Structural Laplace Transform and Compound Autoregressive Models

Cites Work

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• Sufficient Linear Structures: Econometric Applications
• GENERALIZED INTEGER-VALUED AUTOREGRESSION
• Allowance for the Age of Claims in Bonus-Malus Systems
• Nonlinear Autocorrelograms: an Application to Inter‐Trade Durations
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