International Journal of Mathematics and Mathematical Sciences
Volume 29 (2002), Issue 9, Pages 517-524
doi:10.1155/S0161171202008013

Model tracking for risk problems

Lakhdar Aggoun and Lakdere Benkherouf

Department of Mathematics and Statistics, Sultan Qaboos University, P.O. Box 36, Al-Khod 123, Oman

Abstract

We assume that we have M candidate insurance models for describing a process. The models considered consist of a risk process driven by right-constant, finite-state spaces, jump processes. Based on observing the history of the risk process, we propose dynamics whose solutions indicate the likelihoods of each candidate model.