Advanced Search
MyIDEAS: Login to save this paper or follow this series

Exchangeable Claims Sizes in a Compound Poisson Type Proces

Contents:

Author Info

  • Ramsés H. Mena

    ()

  • Luis E. Nieto-Barajas
Registered author(s):

    Abstract

    When dealing with risk models the typical assumption of independence among claim size distributions is not always satisfied. Here we consider the case when the claim sizes are exchangeable and study the implications when constructing aggregated claims through compound Poisson type processes. In par- ticular, exchangeability is achieved through conditional independence and using parametric and nonparametric measures for the conditioning distribution. A full Bayesian analysis of the proposed model is carried out to illustrate.

    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.icer.it/docs/wp2007/ICERwp19-07.pdf
    Download Restriction: no

    Bibliographic Info

    Paper provided by ICER - International Centre for Economic Research in its series ICER Working Papers - Applied Mathematics Series with number 19-2007.

    as in new window
    Length: 21 pages
    Date of creation: Mar 2007
    Date of revision:
    Handle: RePEc:icr:wpmath:19-2007

    Contact details of provider:
    Postal: Viale Settimio Severo, 63 - 10133 Torino - Italy
    Phone: +39 011 6604828
    Fax: +39 011 6600082
    Email:
    Web page: http://www.icer.it
    More information through EDIRC

    Related research

    Keywords: Bayes nonparametrics; compound Poisson process; exchangeable claim process; exchangeable sequence; risk model.;

    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. Cossette, Helene & Marceau, Etienne, 2000. "The discrete-time risk model with correlated classes of business," Insurance: Mathematics and Economics, Elsevier, vol. 26(2-3), pages 133-149, May.
    2. Gerber, Hans U., 1982. "Ruin theory in the linear model," Insurance: Mathematics and Economics, Elsevier, vol. 1(3), pages 213-217, July.
    3. Ramsés H. Mena & Stephen G. Walker, 2005. "Stationary Autoregressive Models via a Bayesian Nonparametric Approach," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(6), pages 789-805, November.
    Full references (including those not matched with items on IDEAS)

    Citations

    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:icr:wpmath:19-2007. 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: (Alessandra Calosso).

    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.