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Model tracking for risk problems

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  • Lakhdar Aggoun
  • Lakdere Benkherouf

Abstract

We assume that we have M candidate insurance models for describing a process. The models considered consist of a risk process driven by right-constant, finite-state spaces, jump processes. Based on observing the history of the risk process, we propose dynamics whose solutions indicate the likelihoods of each candidate model.

Suggested Citation

  • Lakhdar Aggoun & Lakdere Benkherouf, 2002. "Model tracking for risk problems," International Journal of Mathematics and Mathematical Sciences, Hindawi, vol. 29, pages 1-8, January.
    • Handle: RePEc:hin:jijmms:747212
    DOI: 10.1155/S0161171202008013
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