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.
2010
semi-markov; reward; risk theory
01 Pubblicazione su rivista::01a Articolo in rivista
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]
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11573/90689
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