3 papers
stat.ME2026
State-Space Representation of INGARCH Models and Their Application in Insurance
Jae Youn Ahn, Hong Beng Lim, Mario V. Wüthrich
Integer-valued generalized autoregressive conditional heteroskedastic (INGARCH) models are a popular framework for modeling serial dependence in count time-series. While convenient…
stat.AP2026
Counting models with excessive zeros ensuring stochastic monotonicity
Hyemin Lee, Dohee Kim, Banghee So +1
Standard count models such as the Poisson and Negative Binomial models often fail to capture the large proportion of zero claims commonly observed in insurance data. To address suc…
stat.ME2024
An Observation-Driven State-Space Model for Claims Size Modeling
Jae Youn Ahn, Himchan Jeong, Mario V. Wüthrich
State-space models are popular models in econometrics. Recently, these models have gained some popularity in the actuarial literature. The best known state-space models are of Kalm…