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Insurance Claims Modulated by a Hidden Brownian Marked Point Process

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Author
Elliott, Robert
Chen, Zhiping
Duan, Qihong
Accessioned
2012-06-13T16:45:02Z
Available
2012-06-13T16:45:02Z
Issued
2009
Other
Brownian motion
Reference probability
Subject
Insurance risk models
Markov-modulated Poisson processes
Type
journal article
Metadata
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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.
Refereed
Yes
Article deposited according to publisher policy posted on SHERPA/ROMEO, June 13, 2012
 
Citation
Elliott, 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.
Corporate
University of Calgary
Faculty
Haskayne School of Business
Hasversion
Post-print
Url
http://www.journals.elsevier.com/insurance-mathematics-and-economics/
Publisher
Elsevier
Doi
http://dx.doi.org/10.11575/PRISM/34082
Uri
http://hdl.handle.net/1880/48980
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  • Haskayne School of Business Research & Publications

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