2 papers
stat.AP2022
Log normal claim models with common shocks
Greg Taylor
This paper is concerned with modelling multiple claim arrays that are subject to one or more common shocks. It uses a structure that involves very general forms both idiosyncratic…
q-fin.RM2020
Modelling and understanding count processes through a Markov-modulated non-homogeneous Poisson process framework
Benjamin Avanzi, Greg Taylor, Bernard Wong +1
The Markov-modulated Poisson process is utilised for count modelling in a variety of areas such as queueing, reliability, network and insurance claims analysis. In this paper, we e…