Discrete Time Homogeneous Markov Processes for the Study of the Basic Risk Processes

In this paper Markov models useful for following the time evolution of the aggregate claim amount and the claim number in the homogeneous time environment are presented. More precisely the homogeneous Markov reward processes in both discounted and not discounted cases are applied to solve the aggreg...

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Published inMethodology and computing in applied probability Vol. 17; no. 4; pp. 983 - 998
Main Authors D’Amico, Guglielmo, Gismondi, Fulvio, Janssen, Jacques, Manca, Raimondo
Format Journal Article
LanguageEnglish
Published New York Springer US 01.12.2015
Springer Nature B.V
Subjects
Aggregates
Business and Management
Computation
Construction
Economics
Electrical Engineering
Evolution
Life Sciences
Markov analysis
Markov models
Markov processes
Mathematics and Statistics
Risk
Statistics
Studies
60J20
Claim number
91G99
Aggregate claim amount process
Homogeneity
Markov chains
Reward processes
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ISSN1387-5841
1573-7713
DOI10.1007/s11009-014-9416-5

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Summary:In this paper Markov models useful for following the time evolution of the aggregate claim amount and the claim number in the homogeneous time environment are presented. More precisely the homogeneous Markov reward processes in both discounted and not discounted cases are applied to solve the aggregate claim amount and the claim number processes respectively. In the last section the application of the proposed models is presented. Two different real-world databases are mixed for the construction of input data.
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ISSN:1387-5841
1573-7713
DOI:10.1007/s11009-014-9416-5