Prediction in a non-homogeneous Poisson cluster model

DOI10.1016/J.INSMATHECO.2013.12.001zbMath1296.60128arXiv1307.5189OpenAlexW2069453342MaRDI QIDQ743133

Muneya Matsui

Publication date: 22 September 2014

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1307.5189

zbMATH Keywords

predictionconditional expectationinsuranceLévy processshot noiseclaims reservingPoisson cluster model

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Prediction theory (aspects of stochastic processes) (60G25)

Related Items (5)

Prediction in a mixed Poisson cluster model ⋮ Prediction of components in random sums ⋮ On the modelling of multivariate counts with Cox processes and dependent shot noise intensities ⋮ Prediction in a non-homogeneous Poisson cluster model ⋮ Functional central limit theorems and moderate deviations for Poisson cluster processes

Cites Work

• Prediction in a non-homogeneous Poisson cluster model
• Non-life insurance mathematics. An introduction with the Poisson process
• An introduction to the theory of point processes
• Prediction of outstanding payments in a Poisson cluster model
• Asymptotics of conditional moments of the summand in Poisson compounds
• Prediction in a Poisson cluster model
• Prediction of Outstanding Liabilities II. Model Variations and Extensions
• Prediction in a Poisson cluster model with multiple cluster processes
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