A Non-Homogeneous Continuous Time Semi-Markov Model for the Study of Accumulated Claim Process

Giuseppe Di Biase (), Jacques Janssen () and Raimondo Manca ()
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Giuseppe Di Biase: Università “G. D’Annunzio”
Jacques Janssen: Université de Bretagne Occidentale
Raimondo Manca: Università di Roma “La Sapienza”

Methodology and Computing in Applied Probability, 2010, vol. 12, issue 2, 227-235

Abstract: 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.

Keywords: Semi-Markov; Reward; Risk theory; 60K15; 91B30 (search for similar items in EconPapers)
Date: 2010
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DOI: 10.1007/s11009-009-9138-2

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