Discrete Time Homogeneous Markov Processes for the Study of the Basic Risk Processes

Guglielmo D’Amico (), Fulvio Gismondi (), Jacques Janssen () and Raimondo Manca ()
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Guglielmo D’Amico: Università G. d’Annunzio di Chieti
Fulvio Gismondi: University Guglielmo Marconi
Jacques Janssen: Honorary professor at the Solvay Business School Universitè Libre de Bruxelles
Raimondo Manca: Università di Roma La Sapienza

Methodology and Computing in Applied Probability, 2015, vol. 17, issue 4, 983-998

Abstract: Abstract In this paper Markov models useful for following the time evolution of the aggregate claim amount and the claim number in the homogeneous time environment are presented. More precisely the homogeneous Markov reward processes in both discounted and not discounted cases are applied to solve the aggregate claim amount and the claim number processes respectively. In the last section the application of the proposed models is presented. Two different real-world databases are mixed for the construction of input data.

Keywords: Aggregate claim amount process; Claim number; Markov chains; Reward processes; Homogeneity; 60J20; 91G99 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (2)

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DOI: 10.1007/s11009-014-9416-5

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