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Prediction in a Poisson cluster model
Published online by Cambridge University Press: 14 July 2016
Abstract
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.
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- Copyright © Applied Probability Trust 2010
Footnotes
Research supported by a JSPS Research Fellowship for Young scientists.
Research partly supported by the danish Reasearch Council (FNU) grants 272-06-0442 and 09-072331
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