Prediction in a non-homogeneous Poisson cluster model

Muneya Matsui

Insurance: Mathematics and Economics, 2014, vol. 55, issue C, 10-17

Abstract: A non-homogeneous Poisson cluster model is studied, motivated by insurance applications. The Poisson center process which expresses arrival times of claims, triggers off cluster member processes which correspond to number or amount of payments. The cluster member process is an additive process. Given the past observations of the process we consider expected values of future increments and their mean squared errors, aiming at application in claims reserving problems. Our proposed process can cope with non-homogeneous observations such as the seasonality of claims arrival or the reducing property of payment processes, which are unavailable in the former models where both center and member processes are time homogeneous. Hence results presented in this paper are significant extensions toward applications.

Keywords: Poisson cluster model; Prediction; Conditional expectation; Claims reserving; Insurance; Lévy process; Shot noise (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167668713001959
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:55:y:2014:i:c:p:10-17

DOI: 10.1016/j.insmatheco.2013.12.001

Access Statistics for this article

Insurance: Mathematics and Economics is currently edited by R. Kaas, Hansjoerg Albrecher, M. J. Goovaerts and E. S. W. Shiu

More articles in Insurance: Mathematics and Economics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().