Likelihood Construction of Hawkes Process in Insurance Claim Settlement Process

The construction of the likelihood equation in the point process models plays a very important role, especially to obtain a good estimator of the parameters of a model. This paper aims to construction of the likelihood of Hawkes process in solving the problem of the claim filing process in the nonli...

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Bibliographic Details
Published in:Journal of physics. Conference series 2019-10, Vol.1341 (9), p.92016
Main Authors: Ilyas, N, Sunusi, N, Anisa, Sahriman, St
Format: Article
Language:English
Subjects:
Excitation
Insurance
Parameter estimation
Physics
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Summary:The construction of the likelihood equation in the point process models plays a very important role, especially to obtain a good estimator of the parameters of a model. This paper aims to construction of the likelihood of Hawkes process in solving the problem of the claim filing process in the nonlife insurance company. In the construction process, the excitation function with exponential decay is used. The result shows that the total likelihood function of the process depend on probability no claim at time t, the number of policyholder at time t, and the excitation function.
ISSN:1742-6588
1742-6596
DOI:10.1088/1742-6596/1341/9/092016