MAP20130032931Guillou, ArmelleEstimation of the parameters of a Markov-modulated loss process in insurance / Armelle Guillou, Stéphane Loisel, Gilles StupflerSumario: We present a new model of loss processes in insurance. The process is a couple View the MathML source where N is a univariate Markov-modulated Poisson process (MMPP) and L is a multivariate loss process whose behavior is driven by N. We prove the strong consistency of the maximum likelihood estimator of the parameters of this model and present an EM algorithm to compute it in practice. The method is illustrated with simulations and real sets of insurance dataEn: Insurance : mathematics and economics. - Oxford : Elsevier, 1990- = ISSN 0167-6687. - 02/09/2013 Volumen 53 Número 2 - septiembre 2013 I. Title.
