The accumulated claim process is the summed total of all claims starting from time t. The semi-Markov environment, at authors' opinion, is able to follow the evolution of this process. In the paper a continuous time non-homogeneous semi-Markov model with a denumerable set of states will be used to follow the stochastic evolution of the accumulated claim process. © Springer Science+Business Media, LLC 2009.
A Non-Homogeneous Continuous Time Semi-Markov Model for the Study of Accumulated Claim Process / Giuseppe Di, Biase; Jacques, Janssen; Manca, Raimondo. - In: METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY. - ISSN 1387-5841. - STAMPA. - 12:2(2010), pp. 227-235. [10.1007/s11009-009-9138-2]
A Non-Homogeneous Continuous Time Semi-Markov Model for the Study of Accumulated Claim Process
MANCA, Raimondo
2010
Abstract
The accumulated claim process is the summed total of all claims starting from time t. The semi-Markov environment, at authors' opinion, is able to follow the evolution of this process. In the paper a continuous time non-homogeneous semi-Markov model with a denumerable set of states will be used to follow the stochastic evolution of the accumulated claim process. © Springer Science+Business Media, LLC 2009.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
