Clients arrive at an insurance company according to a mixed Poisson process the structure parameter (L) of

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Clients arrive at an insurance company according to a mixed Poisson process the structure parameter $L$ of which has a uniform distribution over the interval $[0,1]$.

(1) Determine the state probabilities of this process at time $t$.

(2) Determine trend and variance function of this process.

(3) For what values of $\alpha$ and $\beta$ are trend and variance function of a Pólya arrival process identical to the ones obtained under (2)?

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Applied Probability And Stochastic Processes

ISBN: 9780367658496

2nd Edition

Authors: Frank Beichelt

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Question Posted: Apr 26, 2024 04:01 PM

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Clients arrive at an insurance company according to a mixed Poisson process the structure parameter (L) of

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Applied Probability And Stochastic Processes

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