IDEAS home Printed from https://ideas.repec.org/a/eee/insuma/v44y2009i3p367-373.html
   My bibliography  Save this article

A claims persistence process and insurance

Author

Listed:
  • Vallois, Pierre
  • Tapiero, Charles S.

Abstract

The purpose of this paper is to introduce and construct a state dependent counting and persistent random walk. Persistence is imbedded in a Markov chain for predicting insured claims based on their current and past period claim. We calculate for such a process, the probability generating function of the number of claims over time and as a result are able to calculate their moments. Further, given the claims severity probability distribution, we provide both the claims process generating function as well as the mean and the claim variance that an insurance firm confronts over a given period of time and in such circumstances. A number of results and applictions are then outlined (such as a Compound Claim Persistence Process).

Suggested Citation

  • Vallois, Pierre & Tapiero, Charles S., 2009. "A claims persistence process and insurance," Insurance: Mathematics and Economics, Elsevier, vol. 44(3), pages 367-373, June.
    • Handle: RePEc:eee:insuma:v:44:y:2009:i:3:p:367-373
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167-6687(08)00164-9
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Vallois, Pierre & Tapiero, Charles S., 2007. "Memory-based persistence in a counting random walk process," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 386(1), pages 303-317.
    2. Weiss, George H, 2002. "Some applications of persistent random walks and the telegrapher's equation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 311(3), pages 381-410.
    3. Pottier, Noëlle, 1996. "Analytic study of the effect of persistence on a one-dimensional biased random walk," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 230(3), pages 563-576.
    4. Telesca, Luciano & Lovallo, Michele, 2006. "Are global terrorist attacks time-correlated?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 362(2), pages 480-484.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Ramírez-Cobo, Pepa & Carrizosa, Emilio & Lillo, Rosa E., 2021. "Analysis of an aggregate loss model in a Markov renewal regime," Applied Mathematics and Computation, Elsevier, vol. 396(C).

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Vallois, Pierre & Tapiero, Charles S., 2007. "Memory-based persistence in a counting random walk process," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 386(1), pages 303-317.
    2. Nikita Ratanov, 2004. "Branching random motions, nonlinear hyperbolic systems and traveling waves," Borradores de Investigación 4331, Universidad del Rosario.
    3. Jonathan R. Potts, 2019. "Directionally Correlated Movement Can Drive Qualitative Changes in Emergent Population Distribution Patterns," Mathematics, MDPI, vol. 7(7), pages 1-11, July.
    4. Kjell Hausken & Jun Zhuang, 2011. "Governments' and Terrorists' Defense and Attack in a T -Period Game," Decision Analysis, INFORMS, vol. 8(1), pages 46-70, March.
    5. Telesca, Luciano & Song, Weiguo, 2011. "Time-scaling properties of city fires," Chaos, Solitons & Fractals, Elsevier, vol. 44(7), pages 558-568.
    6. Eftaxias, Konstantinos & Minadakis, George & Potirakis, Stelios. M. & Balasis, Georgios, 2013. "Dynamical analogy between epileptic seizures and seismogenic electromagnetic emissions by means of nonextensive statistical mechanics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(3), pages 497-509.
    7. Cvetićanin, Stevan M. & Zorica, Dušan & Rapaić, Milan R., 2021. "Non-local telegrapher’s equation as a transmission line model," Applied Mathematics and Computation, Elsevier, vol. 390(C).
    8. García-Pelayo, Ricardo, 2007. "Solution of the persistent, biased random walk," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 384(2), pages 143-149.
    9. Nikita Ratanov & Mikhail Turov, 2023. "On Local Time for Telegraph Processes," Mathematics, MDPI, vol. 11(4), pages 1-12, February.
    10. García-Pelayo, Ricardo, 2023. "New techniques to solve the 1-dimensional random flight," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 623(C).
    11. Alvarez-Ramirez, J. & Ibarra-Valdez, C. & Rodriguez, E. & Urrea, R., 2007. "Fractality and time correlation in contemporary war," Chaos, Solitons & Fractals, Elsevier, vol. 34(4), pages 1039-1049.
    12. Awad, Emad, 2019. "On the time-fractional Cattaneo equation of distributed order," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 518(C), pages 210-233.
    13. Kolesnik, Alexander D., 2018. "Slow diffusion by Markov random flights," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 499(C), pages 186-197.
    14. Yuan, Ying & Zhuang, Xin-tian & Liu, Zhi-ying & Huang, Wei-qiang, 2014. "Analysis of the temporal properties of price shock sequences in crude oil markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 394(C), pages 235-246.
    15. Enzo Orsingher & Manfred Marvin Marchione, 2025. "Planar Random Motions in a Vortex," Journal of Theoretical Probability, Springer, vol. 38(1), pages 1-42, March.
    16. Maes, Christian & Meerts, Kasper & Struyve, Ward, 2022. "Diffraction and interference with run-and-tumble particles," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 598(C).
    17. Filliger, Roger & Hongler, Max-Olivier, 2004. "Supersymmetry in random two-velocity processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 332(C), pages 141-150.
    18. Rodriguez-Horta, E. & Estevez-Rams, E. & Lora-Serrano, R. & Fernández, B. Aragón, 2016. "Correlated biased random walk with latency in one and two dimensions: Asserting patterned and unpredictable movement," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 458(C), pages 303-312.
    19. Peggy Cénac & Arnaud Ny & Basile Loynes & Yoann Offret, 2018. "Persistent Random Walks. I. Recurrence Versus Transience," Journal of Theoretical Probability, Springer, vol. 31(1), pages 232-243, March.
    20. Lambiotte, R. & Ausloos, M. & Thelwall, M., 2007. "Word statistics in Blogs and RSS feeds: Towards empirical universal evidence," Journal of Informetrics, Elsevier, vol. 1(4), pages 277-286.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:insuma:v:44:y:2009:i:3:p:367-373. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/505554 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.