Prediction in a non-homogeneous Poisson cluster model

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<title>Prediction in a non-homogeneous Poisson cluster model</title>
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<namePart>Matsui, Muneya</namePart>
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<abstract displayLabel="Summary">A non-homogeneous Poisson cluster model is studied, motivated by insurance applications. The Poisson center process which expresses arrival times of claims, triggers off cluster member processes which correspond to number or amount of payments. The cluster member process is an additive process. Given the past observations of the process we consider expected values of future increments and their mean squared errors, aiming at application in claims reserving problems. Our proposed process can cope with non-homogeneous observations such as the seasonality of claims arrival or the reducing property of payment processes, which are unavailable in the former models where both center and member processes are time homogeneous. Hence results presented in this paper are significant extensions toward applications.</abstract>
<note type="statement of responsibility">Muneya Matsui</note>
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<title>Insurance : mathematics and economics</title>
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<publisher>Oxford : Elsevier, 1990-</publisher>
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<identifier type="issn">0167-6687</identifier>
<identifier type="local">MAP20077100574</identifier>
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<text>03/03/2014 Volumen 55 Número 1 - marzo 2014 </text>
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