A multivariate claim count model for applications in insurance (Q1650061)

The monograph is an in-depth work concerning important topics in the actuarial field; it is designed to present a time-dynamic model for multivariate claim counts and its applications in the actuarial framework. Chapter 1 introduces the model, involving dependence across the components, over-dispersion and clustering of claims. In Chapter 2, the properties of the model are investigated and its dynamics are fully characterized. The estimation of the process parameters is treated in Chapter 3, where an interesting application to the Danish fire insurance provides a performance analysis of the process. Moreover, in Chapter 4, the actuarial applications are discussed and some extensions are presented in order to improve the process performance in a wide range of actuarial applications. Finally the Appendix contains some recalls on the Poisson process and Lévy subordinators. The monograph represents a reference book for researchers and actuaries.