Advanced Search
MyIDEAS: Login

Risk models based on time series for count random variables

Contents:

Author Info

  • Cossette, Hélène
  • Marceau, Étienne
  • Toureille, Florent
Registered author(s):

    Abstract

    In this paper, we generalize the classical discrete time risk model by introducing a dependence relationship in time between the claim frequencies. The models used are the Poisson autoregressive model and the Poisson moving average model. In particular, the aggregate claim amount and related quantities such as the stop-loss premium, value at risk and tail value at risk are discussed within this framework.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://www.sciencedirect.com/science/article/B6V8N-5125R1M-1/2/aefdf18a429b75de8b9fcb88e3186b56
    Download Restriction: Full text for ScienceDirect subscribers only

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    Bibliographic Info

    Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

    Volume (Year): 48 (2011)
    Issue (Month): 1 (January)
    Pages: 19-28

    as in new window
    Handle: RePEc:eee:insuma:v:48:y:2011:i:1:p:19-28

    Contact details of provider:
    Web page: http://www.elsevier.com/locate/inca/505554

    Related research

    Keywords: Discrete time risk model Dependence Poisson MA(1) process Poisson MA(q) process Poisson AR(1) process;

    References

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
    as in new window
    1. Gerber, Hans U., 1982. "Ruin theory in the linear model," Insurance: Mathematics and Economics, Elsevier, vol. 1(3), pages 213-217, July.
    2. Promislow, S. David, 1991. "The probability of ruin in a process with dependent increments," Insurance: Mathematics and Economics, Elsevier, vol. 10(2), pages 99-107, July.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as in new window

    Cited by:
    1. 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.

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:eee:insuma:v:48:y:2011:i:1:p:19-28. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.