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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Bibliographic Details
Published in:Methodology and computing in applied probability 2015-12, Vol.17 (4), p.983-998
Main Authors: D’Amico, Guglielmo, Gismondi, Fulvio, Janssen, Jacques, Manca, Raimondo
Format: Article
Language:English
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
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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.
ISSN:1387-5841
1573-7713
DOI:10.1007/s11009-014-9416-5