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

被引：0

作者：

Di Biase, Giuseppe ^{[1
]}

Janssen, Jacques ^{[2
,3
]}

Manca, Raimondo ^{[4
]}

机构：

[1] Univ G DAnnunzio, I-66100 Chieti, Italy

[2] Univ Bretagne Occidentale, EURIA Brest, F-29238 Brest 3, France

[3] Univ Bretagne Occidentale, JACAN Tubize, F-29238 Brest 3, France

[4] Univ Roma La Sapienza, I-00161 Rome, Italy

来源：

METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY | 2010年 / 12卷 / 02期

关键词：

Semi-Markov; Reward; Risk theory;

D O I：

10.1007/s11009-009-9138-2

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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.

引用

页码：227 / 235

页数：9

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