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Discrete-Time Risk Models Based on Time Series for Count Random Variables

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  • Cossette, Hélène
  • Marceau, Etienne
  • Maume-Deschamps, Véronique

Abstract

In this paper, we consider various specifications of the general discrete-time risk model in which a serial dependence structure is introduced between the claim numbers for each period. We consider risk models based on compound distributions assuming several examples of discrete variate time series as specific temporal dependence structures: Poisson MA(1) process, Poisson AR(1) process, Markov Bernoulli process and Markov regime-switching process. In these models, we derive expressions for a function that allow us to find the Lundberg coefficient. Specific cases for which an explicit expression can be found for the Lundberg coefficient are also presented. Numerical examples are provided to illustrate different topics discussed in the paper.

Suggested Citation

  • Cossette, Hélène & Marceau, Etienne & Maume-Deschamps, Véronique, 2010. "Discrete-Time Risk Models Based on Time Series for Count Random Variables," ASTIN Bulletin, Cambridge University Press, vol. 40(1), pages 123-150, May.
    • Handle: RePEc:cup:astinb:v:40:y:2010:i:01:p:123-150_00
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    Cited by:

    1. Hélène Cossette & Etienne Marceau & Véronique Maume-Deschamps, 2011. "Adjustment Coefficient for Risk Processes in Some Dependent Contexts," Methodology and Computing in Applied Probability, Springer, vol. 13(4), pages 695-721, December.
    2. Cossette, Hélène & Marceau, Etienne & Trufin, Julien & Zuyderhoff, Pierre, 2020. "Ruin-based risk measures in discrete-time risk models," Insurance: Mathematics and Economics, Elsevier, vol. 93(C), pages 246-261.
    3. Boris Aleksandrov & Christian H. Weiß, 2020. "Parameter estimation and diagnostic tests for INMA(1) processes," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 29(1), pages 196-232, March.
    4. Xiang Hu & Lianzeng Zhang, 2016. "Ruin Probability in a Correlated Aggregate Claims Model with Common Poisson Shocks: Application to Reinsurance," Methodology and Computing in Applied Probability, Springer, vol. 18(3), pages 675-689, September.
    5. Zhao, Xiaobing & Zhou, Xian, 2012. "Copula models for insurance claim numbers with excess zeros and time-dependence," Insurance: Mathematics and Economics, Elsevier, vol. 50(1), pages 191-199.

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