Recent Submissions

  • AGGREGATE CLAIM ESTIMATION USING BIVARIATE HIDDEN MARKOV MODEL 

    oflaz, zarina; yozgatligil, ceylan; sevtap, kestel (ASTIN Bulletin, 2018-11-29)
    In this paper, we propose an approach for modeling claim dependence, with the assumption that the claim numbers and the aggregate claim amounts are mutually and serially dependent through an underlying hidden state and can ...