A Markov Chain Model for Contagion

We introduce a bivariate Markov chain counting process with contagion for modelling the clustering arrival of loss claims with delayed settlement for an insurance company. It is a general continuous-time model framework that also has the potential to be applicable to modelling the clustering arrival...

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Principais autores:	Angelos Dassios, Hongbiao Zhao
格式:	Artigo
语言:	Inglês
出版:	MDPI AG 2014-11-01
丛编:	Risks
主题:	risk model contagion risk bivariate point process Markov chain model discretised dynamic contagion process dynamic contagion process
在线阅读:	http://www.mdpi.com/2227-9091/2/4/434
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