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Article Dans Une Revue Insurance: Mathematics and Economics Année : 2013

Estimation of the parameters of a Markov-modulated loss process in insurance

Résumé

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 estimator of the parameters of this model, and present an EM algorithm to compute it in practice. The method is illustrated with simulations and real sets of insurance data.
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Dates et versions

hal-00589696 , version 1 (30-04-2011)

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Armelle Guillou, Stéphane Loisel, Gilles Stupfler. Estimation of the parameters of a Markov-modulated loss process in insurance. Insurance: Mathematics and Economics, 2013, 53, pp.388-404. ⟨10.1016/j.insmatheco.2013.07.003⟩. ⟨hal-00589696⟩
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