Risk models based on time series for count random variables

Hélène Cossette, Étienne Marceau and Florent Toureille

Insurance: Mathematics and Economics, 2011, vol. 48, issue 1, 19-28

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.

Keywords: Discrete; time; risk; model; Dependence; Poisson; MA(1); process; Poisson; MA(q); process; Poisson; AR(1); process (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:48:y:2011:i:1:p:19-28

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