On the analysis of a discrete-time risk model with INAR(1) processes
Author:
Affiliation:
1. School of Statistics, Renmin University of China, Beijing, People's Republic of China
2. School of Finance, Zhongnan University of Economics and Law, Wuhan, People's Republic of China
Funder
National Natural Science Foundation of China
Publisher
Informa UK Limited
Subject
Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/03461238.2021.1937305
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1. Allowing for time and cross dependence assumptions between claim counts in ratemaking models
2. Risk Classification for Claim Counts
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4. TVaR-based capital allocation for multivariate compound distributions with positive continuous claim amounts
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