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Conference Paper: A discrete-time risk model with Poisson ARCH claim number process
| Title | A discrete-time risk model with Poisson ARCH claim number process |
|---|---|
| Authors | |
| Issue Date | 2016 |
| Citation | The 51st Actuarial Research Conference (ARC 2016), University of Minnesota (UMN) / University of St. Thomas (UST), MN., 27-30 July 2016. How to Cite? |
| Abstract | In this paper, we propose a discrete-time risk model with the claim number following an integer-valued autoregressive conditional heteroscedasticity process with Poisson deviates. In this model, the mean of 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. |
| Description | Conference Theme: Strengthening Industry and Academic Collaboration / Session BT 19: Loss Modeling: Theory |
| Persistent Identifier | http://hdl.handle.net/10722/232781 |
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Yuen, KC | - |
| dc.date.accessioned | 2016-09-20T05:32:17Z | - |
| dc.date.available | 2016-09-20T05:32:17Z | - |
| dc.date.issued | 2016 | - |
| dc.identifier.citation | The 51st Actuarial Research Conference (ARC 2016), University of Minnesota (UMN) / University of St. Thomas (UST), MN., 27-30 July 2016. | - |
| dc.identifier.uri | http://hdl.handle.net/10722/232781 | - |
| dc.description | Conference Theme: Strengthening Industry and Academic Collaboration / Session BT 19: Loss Modeling: Theory | - |
| dc.description.abstract | In this paper, we propose a discrete-time risk model with the claim number following an integer-valued autoregressive conditional heteroscedasticity process with Poisson deviates. In this model, the mean of 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.language | eng | - |
| dc.relation.ispartof | Actuarial Research Conference, ARC 2016 | - |
| dc.title | A discrete-time risk model with Poisson ARCH claim number process | - |
| dc.type | Conference_Paper | - |
| dc.identifier.email | Yuen, KC: kcyuen@hku.hk | - |
| dc.identifier.authority | Yuen, KC=rp00836 | - |
| dc.identifier.hkuros | 263593 | - |