On double periodic non-homogeneous poisson processes

José Garrido and Yi Lu

DEE - Working Papers. Business Economics. WB from Universidad Carlos III de Madrid. Departamento de Economía de la Empresa

Abstract: Non-homogenous Poisson processes with periodic claim intensity rate are proposed as the claim counting process of risk theory. We introduce a doubly periodic Poisson model with short and long term trends, illustrated by a double-beta intensity function. Here periodicity does not repeat the exact same short term pattern every year, but lets its peak intensity vary over a longer period. This model reflects periodic environments like those forming hurricanes, in alternating El Niño/La Niña years. The properties of the model are discussed in detail.

Date: 2002-10
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
https://e-archivo.uc3m.es/rest/api/core/bitstreams ... 235169652380/content (application/pdf)

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:cte:wbrepe:wb024316

Access Statistics for this paper

More papers in DEE - Working Papers. Business Economics. WB from Universidad Carlos III de Madrid. Departamento de Economía de la Empresa
Bibliographic data for series maintained by Ana Poveda ().