An introduction to simulation of risk processes
Wolfgang Härdle () and
Rafał Weron ()
No HSC/03/04, HSC Research Reports from Hugo Steinhaus Center, Wroclaw University of Technology
A typical model for insurance risk, the so-called collective risk model, has two main components: one characterizing the frequency (or incidence) of events and another describing the severity (or size or amount) of gain or loss resulting from the occurrence of an event. Here we focus on simulating the point process N(t) of the incidence of events. We discuss five prominent examples of N(t), namely the classical (homogeneous) Poisson process, the non-homogeneous Poisson process, the mixed Poisson process, the Cox process (also called the doubly stochastic Poisson process) and the renewal process.
Keywords: Collective risk model; Poisson process; Non-homogeneous Poisson process; Mixed Poisson process; Cox process; Renewal process (search for similar items in EconPapers)
JEL-codes: C15 G22 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:wuu:wpaper:hsc0304
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