Estimation of the parameters of a Markov-modulated loss process in insurance

We present a new model of loss processes in insurance. The process is a couple (N,L) where N is a univariate Markov-modulated Poisson process (MMPP) and L is a multivariate loss process whose behavior is driven by N. We prove the strong consistency of the maximum likelihood estimator of the parameters of this model and present an EM algorithm to compute it in practice. The method is illustrated with simulations and real sets of insurance data.

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Year of publication:	2013
Authors:	Guillou, Armelle ; Loisel, Stéphane ; Stupfler, Gilles
Published in:	Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 53.2013, 2, p. 388-404
Publisher:	Elsevier
Subject:	Markov-modulated Poisson process \| Maximum likelihood estimator \| Strong consistency \| EM algorithm

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010702902