Prediction in a Poisson cluster model with multiple cluster processes

DOI10.1080/03461238.2013.773938MaRDI QIDQ4576757zbMATH OpenOpenAlexFDO

Authors Muneya Matsui

Publication date 10 July 2018

Published in Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03461238.2013.773938

zbMATH Keywords

predictionconditional expectationinsuranceshot noiseclaims reservingPoisson cluster modelLévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Prediction theory (aspects of stochastic processes) (60G25)

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Cited in

(6)

• Prediction in a Poisson cluster model
• Prediction of components in random sums
• Prediction of outstanding payments in a Poisson cluster model
• On the modelling of multivariate counts with Cox processes and dependent shot noise intensities
• Prediction in a non-homogeneous Poisson cluster model
• Prediction in a mixed Poisson cluster model

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