An Approximation Model of the Collective Risk Model with INAR(1) Claim Process

Haifang Shi and Dehui Wang

Communications in Statistics - Theory and Methods, 2014, vol. 43, issue 24, 5305-5317

Abstract: Cossette et al. (2010, 2011) gave a novel collective risk model where the total numbers of claims satisfy the first-order integer-valued autoregressive process. For a risk model, it is interesting to investigate the upper bound of ruin probability. However, the loss increments of the above model are dependent; it is difficult to derive the upper bound of ruin probability. In this article, we propose an approximation model with stationary independent increments. The upper bound of ruin probability and the adjustment coefficient are derived. The approximation model is illustrated via four simulated examples. Results show that the gap of the approximation model and dependent model can be ignored by adjusting values of parameters.

Date: 2014
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DOI: 10.1080/03610926.2012.729636

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