| Presentation Name🚣🏼： | Insurance Claims Modulated by a Hidden Marked Point Process |
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| Presenter： | Professor Robert J. Elliott |
| Date： | 2007-09-11 |
| Location📅： | 光华东主楼1801室 |
| Abstract： | Recently there has been interest in applying Markov modulated Poisson processes to ruin theory. Such a model can incorporate the impact states of the economy have on the surplus process. However, the Markov chain is often not directly observable in practice. We develop smoothing and filtering results when the hidden Markov chain influences both the timing and size of insurance claims. The parameters of the model are also estimated.
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| Annual Speech Directory： | No.107 |
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