Guillou, Armelle; Loisel, Stéphane; Stupfler, Gilles - In: Insurance: Mathematics and Economics 53 (2013) 2, pp. 388-404
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 …
