Abstract
The accumulated claim process is the summed total of all claims starting from time t. The semi-Markov environment, at authors’ opinion, is able to follow the evolution of this process. In the paper a continuous time non-homogeneous semi-Markov model with a denumerable set of states will be used to follow the stochastic evolution of the accumulated claim process.
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Di Biase, G., Janssen, J. & Manca, R. A Non-Homogeneous Continuous Time Semi-Markov Model for the Study of Accumulated Claim Process. Methodol Comput Appl Probab 12, 227–235 (2010). https://doi.org/10.1007/s11009-009-9138-2
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DOI: https://doi.org/10.1007/s11009-009-9138-2