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Risk aggregation with dependence and overdispersion based on the compound Poisson INAR(1) process
Authors:Mi Chen
Affiliation:1. College of Mathematics and Informatics &2. FJKLMAA, Fujian Normal University, Fuzhou, PR China
Abstract:
Abstract

This paper considers an extension of the classical discrete time risk model for which the claim numbers are assumed to be temporal dependence and overdispersion. The risk model proposed is based on the first-order integer-valued autoregressive (INAR(1)) process with discrete compound Poisson distributed innovations. The explicit expression for the moment generating function of the discounted aggregate claim amount is derived. Some numerical examples are provided to illustrate the impacts of dependence and overdispersion on related quantities such as the stop-loss premium, the value at risk and the tail value at risk.
Keywords:Dependence  overdispersion  compound Poisson distribution  INAR(1) process  discounted aggregate claim amount
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