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On double periodic non-homogeneous poisson processes

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  • Garrido, José
  • Lu, Yi

Abstract

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.

Suggested Citation

  • Garrido, José & Lu, Yi, 2002. "On double periodic non-homogeneous poisson processes," DEE - Working Papers. Business Economics. WB wb024316, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
    • Handle: RePEc:cte:wbrepe:wb024316
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