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Article: A discrete-time risk model with Poisson ARCH claim-number process

TitleA discrete-time risk model with Poisson ARCH claim-number process
Authors
Li, JYuen, KCChen, M
KeywordsAdjustment coefficient
discrete-time risk model
integer-valued time series
Poisson ARCH process
ruin probability
Issue Date2020
PublisherTaylor & Francis Inc. The Journal's web site is located at http://www.tandf.co.uk/journals/titles/03610926.asp
Citation
Communications in Statistics: Theory and Methods, 2020, v. 49 n. 16, p. 3965-3984 How to Cite?
DOI: http://dx.doi.org/10.1080/03610926.2019.1594296
AbstractIn this paper, we propose a discrete-time risk model with the claim number following an integer-valued autoregressive conditional heteroscedasticity (ARCH) process with Poisson deviates. In this model, the current claim number depends on the previous observations. Within this framework, the equation for finding the adjustment coefficient is derived. Numerical studies are also carried out to examine the impact of the Poisson ARCH dependence structure on the ruin probability.
Persistent Identifierhttp://hdl.handle.net/10722/271283
ISSN
0361-0926
2021 Impact Factor: 0.863
2020 SCImago Journal Rankings: 0.470
ISI Accession Number ID
WOS:000463552800001

 

DC FieldValueLanguage
dc.contributor.authorLi, J-
dc.contributor.authorYuen, KC-
dc.contributor.authorChen, M-
dc.date.accessioned2019-06-24T01:06:55Z-
dc.date.available2019-06-24T01:06:55Z-
dc.date.issued2020-
dc.identifier.citationCommunications in Statistics: Theory and Methods, 2020, v. 49 n. 16, p. 3965-3984-
dc.identifier.issn0361-0926-
dc.identifier.urihttp://hdl.handle.net/10722/271283-
dc.description.abstractIn this paper, we propose a discrete-time risk model with the claim number following an integer-valued autoregressive conditional heteroscedasticity (ARCH) process with Poisson deviates. In this model, the current claim number depends on the previous observations. Within this framework, the equation for finding the adjustment coefficient is derived. Numerical studies are also carried out to examine the impact of the Poisson ARCH dependence structure on the ruin probability.-
dc.languageeng-
dc.publisherTaylor & Francis Inc. The Journal's web site is located at http://www.tandf.co.uk/journals/titles/03610926.asp-
dc.relation.ispartofCommunications in Statistics: Theory and Methods-
dc.rightsAOM/Preprint Before Accepted: his article has been accepted for publication in [JOURNAL TITLE], published by Taylor & Francis. AOM/Preprint After Accepted: This is an [original manuscript / preprint] of an article published by Taylor & Francis in [JOURNAL TITLE] on [date of publication], available online: http://www.tandfonline.com/[Article DOI]. Accepted Manuscript (AM) i.e. Postprint This is an Accepted Manuscript of an article published by Taylor & Francis in [JOURNAL TITLE] on [date of publication], available online: http://www.tandfonline.com/[Article DOI].-
dc.subjectAdjustment coefficient-
dc.subjectdiscrete-time risk model-
dc.subjectinteger-valued time series-
dc.subjectPoisson ARCH process-
dc.subjectruin probability-
dc.titleA discrete-time risk model with Poisson ARCH claim-number process-
dc.typeArticle-
dc.identifier.emailYuen, KC: kcyuen@hku.hk-
dc.identifier.authorityYuen, KC=rp00836-
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1080/03610926.2019.1594296-
dc.identifier.scopuseid_2-s2.0-85063409237-
dc.identifier.hkuros298080-
dc.identifier.volume49-
dc.identifier.issue16-
dc.identifier.spage3965-
dc.identifier.epage3984-
dc.identifier.isiWOS:000463552800001-
dc.publisher.placeUnited States-
dc.identifier.issnl0361-0926-

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