ROBUST FILTERING AND DETECTION OF AN INSURANCE MODEL

DOI10.1142/S0219493707001949zbMath1122.60042MaRDI QIDQ3439933

Lakhdar Aggoun

Publication date: 21 May 2007

Published in: Stochastics and Dynamics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219493707001949

zbMATH Keywords

Markov chain; detection; change of measure; claims rate; premiums rate

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

60G35: Signal detection and filtering (aspects of stochastic processes)

60J10: Markov chains (discrete-time Markov processes on discrete state spaces)

60K30: Applications of queueing theory (congestion, allocation, storage, traffic, etc.)

Cites Work

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• A two-sided stochastic integral and its calculus
• Équations du filtrage non linéaire de la prédiction et du lissage
• Introductory Statistics with Applications in General Insurance
• Recent progress in stochastic processes--A survey