The Distribution of the Interval of the Cox Process With Shot Noise Intensity for Insurance Claims and its Moments

Topics:
Insurance
Tags:
Business Operations,
Corporate Insurance,
Finance,
Financial Planning,
Insurance,
Noise Intensity,
University Of New South Wales
Source:
University of New South Wales

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Overview: Applying piecewise deterministic Markov processes theory, the probability generating function of the Cox process, incorporating with shot noise process as the claim intensity, is obtained. The paper also derives the Laplace transform of the distribution of the shot noise process at claim jump times, using stationary assumption of the shot noise process at any times. Based on this Laplace transform and from the probability generating function of the Cox process with shot noise intensity, paper obtains the distribution of the interval of the Cox process with shot noise intensity for insurance claims and its moments, i.e. mean and variance.

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Format: PDF | Size: 156KB | Date: Aug 2004 | Pages: 4

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