Breadcrumb

 
 

Regime-Switching Periodic Models for Claim Counts

Title:

Regime-Switching Periodic Models for Claim Counts

Lu, Yi and Garrido, José (2004) Regime-Switching Periodic Models for Claim Counts. Technical Report. Concordia University. Department of Mathematics & Statistics, Montreal, Quebec.

[img]
Preview
PDF - Published Version
240Kb

Abstract

We study a Cox risk model that accounts for both, seasonal variations and random fluctuations in the claims intensity. This occurs with natural phenomena that evolve in a seasonal environment and affect insurance claims, such as hurricanes.

More precisely, we define an intensity process, governed by a periodic function with a random peak level. The periodic intensity function follows a deterministic pattern in each short–term period, and is illustrated by a beta–type function. A two–state Markov chain defines the level process, explaining the random effect due to “high” or “low risk” years. This yields a regime–switching process, alternating between the two resulting intensities.

The properties of the corresponding claim counting process are discussed in detail. By properly defining the Lundberg coefficient, Lundberg–typebounds for finite time ruin probabilities are derived.


Divisions:Concordia University > Faculty of Arts and Science > Mathematics and Statistics
Item Type:Monograph (Technical Report)
Authors:Lu, Yi and Garrido, José
Series Name:Department of Mathematics & Statistics. Technical Report No. 2/04
Corporate Authors:Concordia University. Department of Mathematics & Statistics
Institution:Concordia University
Date:June 2004
Keywords:Cox model; Non-homogeneous Poisson process; Regime–switching process; Periodicity; Lundberg–type bound; Ruin probability; Risk theory
ID Code:6637
Deposited By:ANDREA MURRAY
Deposited On:03 Jun 2010 15:32
Last Modified:08 Dec 2010 18:27
All items in Spectrum are protected by copyright, with all rights reserved. The use of items is governed by Spectrum's terms of access.

Repository Staff Only: item control page

Document Downloads

More statistics for this item...

Concordia University - Footer