Risk aggregation based on the Poisson INAR(1) process with periodic structure |
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Authors: | Nannan Yuan Xiang Hu Mi Chen |
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Affiliation: | 1.School of Finance,Zhongnan University of Economics and Law,Wuhan,China;2.College of Mathematics and Informatics,Fujian Normal University,Fuzhou,China |
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Abstract: | In this paper, we consider a risk model by introducing a temporal dependence between the claim numbers under periodic environment, which generalizes several discrete-time risk models. The model proposed is based on the Poisson INAR(1) process with periodic structure. We study the moment-generating function of the aggregate claims. The distribution of the aggregate claims is discussed when the individual claim size is exponentially distributed. |
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