Point processes with a generalized order statistic property
Birgit Debrabant
ISBN 978-3-8325-1959-9
153 Seiten, Erscheinungsjahr: 2008
Preis: 35.00 €
Mixed Poisson processes are a well known class of point processes derived from
(stationary) Poisson processes. In particular they cover cases where the intensity
of a Poisson process is unknown but can be assumed to follow a known probability
distribution. This situation is common e. g. in insurance mathematics where for
instance the number of accident claims in which an individual is involved and which
is evolving over some time can in principal be well described by a Poisson process
with an individual, yet normally unknown intensity corresponding to the individual's
accident proneness. Modelling this intensity as a random variable naturally leads
to a mixed model. Usually, an insurance company will have a good estimate of the
associated mixing distribution due to its large portfolio of policies.