Guillou, Armelle; Loisel, Stéphane; Stupfler, Gilles - HAL - 2011
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...