A nonhomogeneous Poisson hidden Markov model for claim counts

DOI10.2143/AST.42.1.2160740MaRDI QIDQ2866006zbMATH OpenOpenAlexFDO

Authors Yi Lu, Leilei Zeng

Publication date 12 December 2013

Published in ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL https://EconPapers.repec.org/RePEc:cup:astinb:v:42:y:2012:i:01:p:181-202_00

zbMATH Keywords

EM algorithmintensity functionmaximum likelihood estimationseasonalitynonhomogeneous Poisson processhurricanes and tropical stormsPoisson hidden Markov model

Mathematics Subject Classification ID

Classification and discrimination; cluster analysis (statistical aspects) (62H30) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Applications of statistics to environmental and related topics (62P12) Economic time series analysis (91B84) Environmental economics (natural resource models, harvesting, pollution, etc.) (91B76)

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Cited in

(10)

• Modelling claim number using a new mixture model: negative binomial gamma distribution
• On double periodic non-homogeneous Poisson processes
• Risk models with dependence between claim occurrences and severities for Atlantic hurricanes
• Modelling and understanding count processes through a Markov-modulated non-homogeneous Poisson process framework
• Random-coefficients hidden-Markov Poisson regression models for inferring a competitor's promotion strategy
• On the total claim amount for marked Poisson cluster models
• Modeling for seasonal marked point processes: an analysis of evolving hurricane occurrences
• Generalized Poisson Hidden Markov Model for Overdispersed or Underdispersed Count Data
• Aggregate claim estimation using bivariate hidden Markov model
• Applications of Poisson-hidden Markov model

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