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 behaviour 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:	2011-04-30
Authors:	Guillou, Armelle ; Loisel, Stéphane ; Stupfler, Gilles
Institutions:	HAL

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	View the original document on HAL open archive server: http://hal.archives-ouvertes.fr/hal-00589696/en/
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10009004177