Risk aggregation based on the Poisson INAR(1) process with periodic structure
- 25 Downloads
In this paper, we consider a risk model by introducing a temporal dependence between the claim numbers under periodic environment, which generalizes several discrete-time risk models. The model proposed is based on the Poisson INAR(1) process with periodic structure. We study the moment-generating function of the aggregate claims. The distribution of the aggregate claims is discussed when the individual claim size is exponentially distributed.
Keywordsdependence Poisson INAR(1) process periodic structure aggregate claims
Unable to display preview. Download preview PDF.