Discrete-time risk models based on time series for count random variables.Report as inadecuate

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1 Ecole d-Actuariat 2 SAF - Laboratoire de Sciences Actuarielle et Financière

Abstract : In this paper, we consider various spe

.cations of the general discrete- time risk model in which a serial dependent structure is introduced between the claim numbers for each period. We consider risk models based on compound distributions assuming several examples of discrete variate time series as specific temporal dependence structures: Poisson MA1 process, Poisson AR1, Markov Bernoulli process and Markov switching regime process. In these models, we derive expressions for a function that allows us to find the Lundberg coeficient. Specific cases for which an explicit expression can be found for the Lundberg coe¢ cient are also presented. Numerical examples are provided to illustrate di¤erent topics discussed in the paper.

keyword : Lundberg Coe¢ cient. Discrete-time risk model Poisson MA1 process Poisson AR1 process Lundberg Coe¢ cient

Author: Hélène Cossette - Etienne Marceau - Véronique Maume-Deschamps -

Source: https://hal.archives-ouvertes.fr/


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