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Lithuanian Mathematical Journal

, Volume 58, Issue 4, pp 505–515 | Cite as

Risk aggregation based on the Poisson INAR(1) process with periodic structure

  • Nannan Yuan
  • Xiang HuEmail author
  • Mi Chen
Article
  • 25 Downloads

Abstract

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.

Keywords

dependence Poisson INAR(1) process periodic structure aggregate claims 

MSC

62P05 62M10 

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Copyright information

© Springer Science+Business Media, LLC, part of Springer Nature 2018

Authors and Affiliations

  1. 1.School of FinanceZhongnan University of Economics and LawWuhanChina
  2. 2.College of Mathematics and InformaticsFujian Normal UniversityFuzhouChina

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