Seção: Artigos Título: On a risk model with tree-structured Poisson Markov random field frequency, with application to rainfall events / Hélène Cossette ... [et al.] Notas: 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 managementRegistros relacionados: 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.Materia / lugar / evento: Cálculo actuarial Distribución Poisson-Beta Siniestralidad Cartera de seguros Asignación de capital Otros autores: Cossette, Hélène International Actuarial Association Outras classificações: 6 Direitos: In Copyright (InC)
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Centro de Documentación y Conocimiento