A Statistical Analysis of Intensities Estimation on the Modeling of Non-Life Insurance Claim Counting Process

Autor:	Uraiwan Jaroengeratikun, Winai Bodhisuwan, Ampai Thongteeraparp
Rok vydání:	2012
Předmět:	Zero mean symbols.namesake Counting process Estimation theory Life insurance Statistics symbols Poisson process Sample path Statistical analysis General Medicine Martingale (probability theory) Mathematics
Zdroj:	Applied Mathematics. :100-106
ISSN:	2152-7393 2152-7385
DOI:	10.4236/am.2012.31016
Popis:	This study presents an estimation approach to non-life insurance claim counts relating to a specified time. The objective of this study is to estimate the parameters in non-life insurance claim counting process, including the homogeneous Poisson process (HPP) and the non-homogeneous Poisson process (NHPP) with a bell-shaped intensity. We use the estimating function, the zero mean martingale (ZMM) as a procedure of parameter estimation in the insurance claim counting process. Then, Λ (t), the compensator of N (t) is proposed for the number of claims in the time interval (0, t]. We present situations through a simulation study of both processes on the time interval (0, t]. Some examples of the situations in the simulation study are depicted by a sample path relating N (t) to its compensator Λ (t). In addition, an example of the claim counting process illustrates the result of the compensator estimate misspecification.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::7023ebcaff6bfc937f5d16647a262070 https://doi.org/10.4236/am.2012.31016 Zobrazit plný text záznamu