کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5077121 1374118 2011 10 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Risk models based on time series for count random variables
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Risk models based on time series for count random variables
چکیده انگلیسی
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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 48, Issue 1, January 2011, Pages 19-28
نویسندگان
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