Risk aggregation based on the Poisson INAR(1) process with periodic structure.

In this paper, we consider a risk model by introducing a temporal dependence between the claim numbers under periodic environment, which generalizes several discrete-time risk models. The model proposed is based on the Poisson INAR(1) process with periodic structure. We study the moment-generating function of the aggregate claims. The distribution of the aggregate claims is discussed when the individual claim size is exponentially distributed. [ABSTRACT FROM AUTHOR]