Insurance Claims Modulated by a Hidden Brownian Marked Point Process

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dc.contributor.authorElliott, Roberteng
dc.contributor.authorChen, Zhipingeng
dc.contributor.authorDuan, Qihongeng
dc.date.accessioned2012-06-13T16:45:02Z
dc.date.available2012-06-13T16:45:02Z
dc.date.issued2009
dc.descriptionArticle deposited according to publisher policy posted on SHERPA/ROMEO, June 13, 2012eng
dc.description.abstractAimed 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.eng
dc.description.refereedYeseng
dc.identifier.citationElliott, Robert J. & Chen, Zhiping & Duan, Qihong, 2009. "Insurance claims modulated by a hidden Brownian marked point process," Insurance: Mathematics and Economics, Elsevier, vol. 45(2), pages 163-172, October.eng
dc.identifier.doihttp://dx.doi.org/10.11575/PRISM/34082
dc.identifier.issn0167-6687
dc.identifier.urihttp://hdl.handle.net/1880/48980
dc.language.isoengeng
dc.publisherElseviereng
dc.publisher.corporateUniversity of Calgaryeng
dc.publisher.facultyHaskayne School of Businesseng
dc.publisher.hasversionPost-print
dc.publisher.urlhttp://www.journals.elsevier.com/insurance-mathematics-and-economics/eng
dc.subjectInsurance risk modelseng
dc.subjectMarkov-modulated Poisson processeseng
dc.subject.otherBrownian motioneng
dc.subject.otherReference probabilityeng
dc.titleInsurance Claims Modulated by a Hidden Brownian Marked Point Processeng
dc.typejournal articleeng
thesis.degree.disciplineFinanceeng
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