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

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Abstract : 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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Preprints, Working Papers, ...
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https://hal.archives-ouvertes.fr/hal-00589696
Contributor : Stéphane Loisel <>
Submitted on : Saturday, April 30, 2011 - 4:49:53 PM
Last modification on : Wednesday, March 14, 2018 - 4:38:43 PM
Long-term archiving on : Sunday, July 31, 2011 - 2:31:03 AM

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• HAL Id : hal-00589696, version 1

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Armelle Guillou, Stéphane Loisel, Gilles Stupfler. Estimation of the parameters of a Markov-modulated loss process in insurance. 2011. ⟨hal-00589696⟩

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