Article ID Journal Published Year Pages File Type
5077121 Insurance: Mathematics and Economics 2011 10 Pages PDF
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.
Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
Authors
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