Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5077121 | Insurance: Mathematics and Economics | 2011 | 10 Pages |
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.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Hélène Cossette, Ãtienne Marceau, Florent Toureille,