Economics at your fingertips  

An introduction to simulation of risk processes

Krzysztof Burnecki, Wolfgang Härdle () and Rafał Weron ()

No HSC/03/04, HSC Research Reports from Hugo Steinhaus Center, Wroclaw University of Technology

Abstract: 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)
Date: 2003
References: View complete reference list from CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed

Downloads: (external link) Original version, 2003 (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:

Access Statistics for this paper

More papers in HSC Research Reports from Hugo Steinhaus Center, Wroclaw University of Technology Contact information at EDIRC.
Bibliographic data for series maintained by Rafal Weron ().

Page updated 2019-09-11
Handle: RePEc:wuu:wpaper:hsc0304