Time series: theory and methods
Time series: theory and methods
A central limit theorem for autoregressive integrated moving average processes
Mathematical and Computer Modelling: An International Journal
| Hi-index | 0.98 |
The Compound Poisson process is a useful model for describing total claim costs in the insurance industry. In this investigation, the compound Poisson model is modified to allow dependence among the compounded variables in an effort to more accurately model situations in which successive claim awards are correlated and/or form a nonstationary process. Specifically, the sequence is assumed to follow an ARIMA(p,d,q) model. This type of model is illustrated with the use of actual asbestosis claim cost data collected from Naval shipyards. Some asymptotic theory (namely a central limit theorem) is developed for the case in which the Poisson process mean approaches infinity.