Prediction in a non-homogeneous Poisson cluster model
نویسندگان
چکیده
منابع مشابه
Prediction in a Poisson Cluster Model
We consider a Poisson cluster model, motivated by insurance applications. At each claim arrival time, modeled by the point of a homogeneous Poisson process, we start a cluster process which represents the number or amount of payments triggered by the arrival of a claim in a portfolio. The cluster process is a Lévy or truncated compound Poisson process. Given the observations of the process over...
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ژورنال
عنوان ژورنال: Insurance: Mathematics and Economics
سال: 2014
ISSN: 0167-6687
DOI: 10.1016/j.insmatheco.2013.12.001