A claims persistence process and insurance

Pierre Vallois, Charles S. Tapiero

Research output: Contribution to journalArticle

Abstract

The purpose of this paper is to introduce and construct a state dependent counting and persistent random walk. Persistence is imbedded in a Markov chain for predicting insured claims based on their current and past period claim. We calculate for such a process, the probability generating function of the number of claims over time and as a result are able to calculate their moments. Further, given the claims severity probability distribution, we provide both the claims process generating function as well as the mean and the claim variance that an insurance firm confronts over a given period of time and in such circumstances. A number of results and applictions are then outlined (such as a Compound Claim Persistence Process).

Original languageEnglish (US)
Pages (from-to)367-373
Number of pages7
JournalInsurance: Mathematics and Economics
Volume44
Issue number3
DOIs
StatePublished - Jun 1 2009

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Keywords

  • Insurance claims
  • Persistence
  • Random walk
  • Value at risk

ASJC Scopus subject areas

  • Statistics and Probability
  • Economics and Econometrics
  • Statistics, Probability and Uncertainty

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