An introduction to simulation of risk processes
AbstractA typical model for insurance risk, the so-called collective risk model, has two main components: one characterizing the frequency (or incidence) of events and another describing the severity (or size or amount) of gain or loss resulting from the occurrence of an event. Here we focus on simulating the point process N(t) of the incidence of events. We discuss five prominent examples of N(t), namely the classical (homogeneous) Poisson process, the non-homogeneous Poisson process, the mixed Poisson process, the Cox process (also called the doubly stochastic Poisson process) and the renewal process.
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Bibliographic InfoPaper provided by Hugo Steinhaus Center, Wroclaw University of Technology in its series HSC Research Reports with number HSC/03/04.
Length: 9 pages
Date of creation: 2003
Date of revision:
Collective risk model; Poisson process; Non-homogeneous Poisson process; Mixed Poisson process; Cox process; Renewal process;
Find related papers by JEL classification:
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
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