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On double periodic non-homogeneous poisson processes

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URI: https://hdl.handle.net/10016/70
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wb024316.pdf (547.8 KB)
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2002-10
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Non-homogenous Poisson processes with periodic claim intensity rate are proposed as the claim counting process of risk theory. We introduce a doubly periodic Poisson model with short and long term trends, illustrated by a double-beta intensity function. Here periodicity does not repeat the exact same short term pattern every year, but lets its peak intensity vary over a longer period. This model reflects periodic environments like those forming hurricanes, in alternating El Niño/La Niña years. The properties of the model are discussed in detail.
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DEE - Working Papers. Business Economics. WB