Non-homogenous Poisson processes with periodic claim intensity rate are proposed as the claim counting process of risk theory. We introduce a doubly periodic Poisson model with short and long term trends, illustrated by a double-beta intensity function. Here periodicity does not repeat the exact same short term pattern every year, but lets its peak intensity vary over a longer period. This model reflects periodic environments like those forming hurricanes, in alternating El Niño/La Niña years. The properties of the model are discussed in detail.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Publisher Info
Paper provided by Universidad Carlos III, Departamento de Economía de la Empresa in its series Business Economics Working Papers with number
wb024316.