Insurance risk models with marked Poisson arrivals
نویسندگان
چکیده
This presentation is intended to be a short course on inference and filtering in hidden Markov models (HMMs) and state space models. These models comprise a hidden (unobserved) Markov chain (either with discrete or continuous state space) that governs the distribution of an observed stochastic process. An example of a HMM is a regime-switching model for stock returns in which the stock return distribution depends on the unobservable state of the economy.
منابع مشابه
Hurdle, Inflated Poisson and Inflated Negative Binomial Regression Models for Analysis of Count Data with Extra Zeros
In this paper, we propose Hurdle regression models for analysing count responses with extra zeros. A method of estimating maximum likelihood is used to estimate model parameters. The application of the proposed model is presented in insurance dataset. In this example, there are many numbers of claims equal to zero is considered that clarify the application of the model with a zero-inflat...
متن کاملA Risk Surplus Model using Hawkes Point Processes
In this thesis we define a Hawkes process with exponential decay that later on is used in an application to insurance. We have also applied a simulation algorithm for the Hawkes process that are able to model cluster arrival of claims. In the classical risk model one uses a homogeneous Poisson process to model the arrival of claims which is not realistic. What is most crucial for an insurance c...
متن کاملAnalysis of unreliable bulk queue with statedependent arrivals
In this paper, we investigate a single-server Poisson input queueing model, wherein arrivals of units are in bulk. The arrival rate of the units is state dependent, and service time is arbitrary distributed. It is also assumed that the system is subject to breakdown, and the failed server immediately joins the repair facility which takes constant duration to repair the server. By using suppl...
متن کاملOn Tandem Communication Network Model with DBA and Modified Phase Type Transmission having NHP Arrivals for First Node and Poisson process arrivals for Second Node
Communication network models play a predominant role in performance evaluation of many communication systems. The packet arrival processes for data networks are not matching with the Poisson processes due to the nature of bursty and time dependent arrivals. In this paper, a three node communication network model with non homogeneous Poisson arrivals having dynamic bandwidth allocation under mod...
متن کاملFinite-Time Ruin Probabilities for Discrete, Possibly Dependent, Claim Severities
This paper is concerned with the compound Poisson risk model and two generalized models with still Poisson claim arrivals. One extension incorporates inhomogeneity in the premium input and in the claim arrival process, while the other takes into account possible dependence between the successive claim amounts. The problem under study for these risk models is the evaluation of the probabilities ...
متن کامل