Ruin Analysis on a New Risk Model with Stochastic Premiums and Dependence Based on Time Series for Count Random Variables

Ruin Analysis on a New Risk Model with Stochastic Premiums and Dependence Based on Time Series for Count Random Variables

In this paper, we propose a new discrete-time risk model of an insurance portfolio with stochastic premiums, in which the temporal dependence among the premium numbers of consecutive periods is fitted by the first-order integer-valued autoregressive (INAR(1)) process and the temporal dependence amon...

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Bibliographic Details
Main Authors: Lihong Guan, Xiaohong Wang
Format: Article
Language:English
Published: MDPI AG 2023-04-01
Series:Entropy
Subjects:
risk model
stochastic premiums
INAR(1) process
INMA(1) process
ruin probability
Online Access:https://www.mdpi.com/1099-4300/25/4/698

Internet

https://www.mdpi.com/1099-4300/25/4/698

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