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Prediction in a Poisson cluster model
| Content Provider | Scilit |
|---|---|
| Author | Matsui, Muneya Mikosch, Thomas |
| Copyright Year | 2010 |
| Description | We consider a Poisson cluster model, motivated by insurance applications. At each claim arrival time, modeled by the point of a homogeneous Poisson process, we start a cluster process which represents the number or amount of payments triggered by the arrival of a claim in a portfolio. The cluster process is a Lévy or truncated compound Poisson process. Given the observations of the process over a finite interval, we consider the expected value of the number and amount of payments in a future time interval. We also give bounds for the error encountered in this prediction procedure. |
| Related Links | https://www.cambridge.org/core/services/aop-cambridge-core/content/view/50DE706E01D73389AEADBA84991C8CCF/S0021900200006689a.pdf/div-class-title-prediction-in-a-poisson-cluster-model-div.pdf |
| Ending Page | 366 |
| Page Count | 17 |
| Starting Page | 350 |
| ISSN | 00219002 |
| e-ISSN | 14756072 |
| DOI | 10.1239/jap/1276784896 |
| Journal | Journal of applied probability |
| Issue Number | 2 |
| Volume Number | 47 |
| Language | English |
| Publisher | Cambridge University Press (CUP) |
| Publisher Date | 2010-06-01 |
| Access Restriction | Open |
| Subject Keyword | Journal of applied probability Conditional Expectation Compound Poisson Process Levy Process Poisson Process Shot Noise |
| Content Type | Text |
| Resource Type | Article |
| Subject | Statistics and Probability Statistics, Probability and Uncertainty |
