Elliott, Robert J.; Chen, Zhiping; Duan, Qihong - In: Insurance: Mathematics and Economics 45 (2009) 2, pp. 163-172
Aimed at better modeling insurance claims in an economic environment driven by business cycles, a new Markov-modulated Poisson process model is proposed, and an algorithm is derived to estimate the hidden Markov process by using the observed information. Our method differs from existing ones in...