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A Non-Homogeneous Continuous Time Semi-Markov Model for the Study of Accumulated Claim Process

Author

Listed:
  • Giuseppe Di Biase

    (Università “G. D’Annunzio”)

  • Jacques Janssen

    (Université de Bretagne Occidentale)

  • Raimondo Manca

    (Università di Roma “La Sapienza”)

Abstract

The accumulated claim process is the summed total of all claims starting from time t. The semi-Markov environment, at authors’ opinion, is able to follow the evolution of this process. In the paper a continuous time non-homogeneous semi-Markov model with a denumerable set of states will be used to follow the stochastic evolution of the accumulated claim process.

Suggested Citation

  • Giuseppe Di Biase & Jacques Janssen & Raimondo Manca, 2010. "A Non-Homogeneous Continuous Time Semi-Markov Model for the Study of Accumulated Claim Process," Methodology and Computing in Applied Probability, Springer, vol. 12(2), pages 227-235, June.
    • Handle: RePEc:spr:metcap:v:12:y:2010:i:2:d:10.1007_s11009-009-9138-2
    DOI: 10.1007/s11009-009-9138-2
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    References listed on IDEAS

    as
    1. Janssen, Jacques & Reinhard, Jean-Marie, 1985. "Probabilités de Ruine pour une Classe de Modèles de Risque Semi-Markoviens," ASTIN Bulletin, Cambridge University Press, vol. 15(2), pages 123-133, November.
    2. Sophie Mercier, 2008. "Numerical Bounds for Semi-Markovian Quantities and Application to Reliability," Methodology and Computing in Applied Probability, Springer, vol. 10(2), pages 179-198, June.
    Full references (including those not matched with items on IDEAS)

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    Keywords

    Semi-Markov; Reward; Risk theory;
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