Prediction in a Poisson cluster model
نویسندگان
چکیده
منابع مشابه
Prediction in a Poisson Cluster Model
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...
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ژورنال
عنوان ژورنال: Journal of Applied Probability
سال: 2010
ISSN: 0021-9002,1475-6072
DOI: 10.1017/s0021900200006689