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

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<title>On a risk model with tree-structured Poisson Markov random field frequency, with application to rainfall events</title>
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<namePart>Cossette, Hélène</namePart>
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<namePart>International Actuarial Association</namePart>
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<abstract displayLabel="Summary">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</abstract>
<note type="statement of responsibility">Hélène Cossette ... [et al.]</note>
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<topic>Cálculo actuarial</topic>
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<topic>Distribución Poisson-Beta</topic>
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<topic>Siniestralidad</topic>
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<topic>Cartera de seguros</topic>
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<topic>Asignación de capital</topic>
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<title>Astin bulletin</title>
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<publisher>Belgium : ASTIN and AFIR Sections of the International Actuarial Association</publisher>
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<identifier type="issn">0515-0361</identifier>
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<text>20/04/2026 Volumen 56 Número 2 - abril 2026 , 23 p.</text>
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