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- Publisher Website: 10.1080/03610926.2019.1594296
- Scopus: eid_2-s2.0-85063409237
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Article: A discrete-time risk model with Poisson ARCH claim-number process
Title | A discrete-time risk model with Poisson ARCH claim-number process |
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Authors | |
Keywords | Adjustment coefficient discrete-time risk model integer-valued time series Poisson ARCH process ruin probability |
Issue Date | 2020 |
Publisher | Taylor & 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? |
Abstract | In 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 Identifier | http://hdl.handle.net/10722/271283 |
ISSN | 2023 Impact Factor: 0.6 2023 SCImago Journal Rankings: 0.446 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Li, J | - |
dc.contributor.author | Yuen, KC | - |
dc.contributor.author | Chen, M | - |
dc.date.accessioned | 2019-06-24T01:06:55Z | - |
dc.date.available | 2019-06-24T01:06:55Z | - |
dc.date.issued | 2020 | - |
dc.identifier.citation | Communications in Statistics: Theory and Methods, 2020, v. 49 n. 16, p. 3965-3984 | - |
dc.identifier.issn | 0361-0926 | - |
dc.identifier.uri | http://hdl.handle.net/10722/271283 | - |
dc.description.abstract | In 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.language | eng | - |
dc.publisher | Taylor & Francis Inc. The Journal's web site is located at http://www.tandf.co.uk/journals/titles/03610926.asp | - |
dc.relation.ispartof | Communications in Statistics: Theory and Methods | - |
dc.rights | AOM/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.subject | Adjustment coefficient | - |
dc.subject | discrete-time risk model | - |
dc.subject | integer-valued time series | - |
dc.subject | Poisson ARCH process | - |
dc.subject | ruin probability | - |
dc.title | A discrete-time risk model with Poisson ARCH claim-number process | - |
dc.type | Article | - |
dc.identifier.email | Yuen, KC: kcyuen@hku.hk | - |
dc.identifier.authority | Yuen, KC=rp00836 | - |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.1080/03610926.2019.1594296 | - |
dc.identifier.scopus | eid_2-s2.0-85063409237 | - |
dc.identifier.hkuros | 298080 | - |
dc.identifier.volume | 49 | - |
dc.identifier.issue | 16 | - |
dc.identifier.spage | 3965 | - |
dc.identifier.epage | 3984 | - |
dc.identifier.isi | WOS:000463552800001 | - |
dc.publisher.place | United States | - |
dc.identifier.issnl | 0361-0926 | - |