Risk model based on the first-order integer-valued moving average process with compound Poisson distributed innovations

Xiang Hu, Lianzeng Zhang and Weiwei Sun

Scandinavian Actuarial Journal, 2018, vol. 2018, issue 5, 412-425

Abstract: This paper considers a discrete-time risk model by introducing a temporal dependence structure between the number of claims for each period. The risk model is based on the first-order integer-valued moving average (INMA(1)) process with compound Poisson distributed innovations. We derive the explicit expression for the moment generating function of the aggregate claim amount, which can be used for the calculation of some related quantities. We examine the properties of the adjustment coefficient for measuring the dangerousness of an insurance portfolio. Some special cases are included and numerical examples are provided to illustrate the results obtained in the paper.

Date: 2018
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DOI: 10.1080/03461238.2017.1371067

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