Abstract

http://ssrn.com/abstract=1433483
 
 

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A Claims Persistence Process and Insurance


Charles S. Tapiero


NYU Poly - Department of Finance and Risk Engineering

Pierre Vallois


affiliation not provided to SSRN

September 27, 2008

Insurance: Mathematics and Economics, Vol. 44, No. 3, 2009

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 applications are then outlined (such as a Compound Claim Persistence Process).

Number of Pages in PDF File: 22

Keywords: Random walk, Persistence, Insurance claims, Value at risk

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Date posted: July 16, 2009  

Suggested Citation

Tapiero, Charles S. and Vallois, Pierre, A Claims Persistence Process and Insurance (September 27, 2008). Insurance: Mathematics and Economics, Vol. 44, No. 3, 2009. Available at SSRN: http://ssrn.com/abstract=1433483

Contact Information

Charles S. Tapiero (Contact Author)
NYU Poly - Department of Finance and Risk Engineering ( email )
Brooklyn, NY 11201
United States
Pierre Vallois
affiliation not provided to SSRN
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