Model claim frequencies using Poisson processes.
Free CAS MAS-I (Modern Actuarial Statistics I) lesson in Probability Models. 10 min read, ~1,461 words.
Homogeneous Poisson process with rate:, independent stationary increments, starts at. Inter-arrival times are iid with mean; waiting time to the -th claim is. Superposition: sum of independent Poisson processes with rates is Poisson with rate. Thinning: classify each event independently with probability; the two streams are independent Poisson processes with...
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- Content
- Example 1
- Example 2
- Common Mistakes
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- Exam Shortcuts
Learning objectives
- A1
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