Insurance claims modulated by a hidden Brownian marked point process
Date
2009
Authors
Elliott, R.
Chen, Z.
Duan, Q.
Editors
Advisors
Journal Title
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Volume Title
Type:
Journal article
Citation
Insurance: Mathematics and Economics, 2009; 45(2):163-172
Statement of Responsibility
Robert J. Elliott, Zhiping Chen and Qihong Duan
Conference Name
Abstract
Aimed at better modeling insurance claims in an economic environment driven by business cycles, a new Markov-modulated Poisson process model is proposed, and an algorithm is derived to estimate the hidden Markov process by using the observed information. Our method differs from existing ones in the following ways: the new hidden process can model more efficiently the cyclic state of the economic environment; our theory is based on a variation of the law of large numbers and is easy to understand; the Fourier expansion-based parameter estimation algorithm is flexible and can be more easily implemented than other algorithms. Simulation results not only demonstrate the practicality of our model and algorithm, but also show the efficiency and robustness of the estimation algorithm
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Copyright © 2009 Elsevier B.V. All rights reserved.
Link to a related website: https://prism.ucalgary.ca/bitstream/1880/48980/1/Elliott_Insurance_Claims_2011_postprint_file.pdf, Open Access via Unpaywall
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Copyright 2009 Elsevier B.V.