On a risk model with tree-structured Poisson Markov random field frequency, with application to rainfall events

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<dc:creator>Cossette, Hélène</dc:creator>
<dc:creator>International Actuarial Association</dc:creator>
<dc:date>2026-04-20</dc:date>
<dc:description xml:lang="es">Sumario: The article proposes a multivariate risk model for insurance portfolios based on a tree-structured Markov random field with Poisson marginal distributions. The model captures dependence between claim frequencies through binomial thinning mechanisms while remaining computationally scalable in high dimensions. It develops analytical results for aggregate risk, risk allocation and asymptotic behavior. The methodology is illustrated with an application to extreme rainfall events using real-world meteorological data. The approach offers interpretable dependence structures and efficient estimation procedures for actuarial risk management</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/190606.do</dc:identifier>
<dc:language>eng</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:subject xml:lang="es">Cálculo actuarial</dc:subject>
<dc:subject xml:lang="es">Distribución Poisson-Beta</dc:subject>
<dc:subject xml:lang="es">Siniestralidad</dc:subject>
<dc:subject xml:lang="es">Cartera de seguros</dc:subject>
<dc:subject xml:lang="es">Asignación de capital</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">On a risk model with tree-structured Poisson Markov random field frequency, with application to rainfall events</dc:title>
<dc:relation xml:lang="es">En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 20/04/2026 Volumen 56 Número 2 - abril 2026 , 23 p.</dc:relation>
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