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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.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…