Optimal Tracking for an Insurance Model

Stochastic Analysis and Applications

Volumn 21, Issue 6, 2003, Pages 1207-1214

  Aggoun, Lakhdar ^a  

^a SULTAN QABOOS UNIVERSITY   (Oman)

Author keywords

Insurance model; Measure change techniques; Optimal tracking

Indexed keywords

EID: 0344927059     PISSN: 07362994     EISSN: None     Source Type: Journal    
DOI: 10.1081/SAP-120026103     Document Type: Article

References (5)

1. Aggoun, L.; Benkherouf, L. Model tracking for risk problems. International Journal of Mathematics and Mathematical Sciences 2002, to appear.
2. Aggoun, L.; Benkherouf, L. M-ary Detection of Markov modulated Poisson processes in inventory models. Appl. Math. Comput. 2002, to appear.
3. Aggoun, L.; Elliott, R.J.; Malcolm, W.P. Discrete time model tracking with Poisson observations. Submitted.
4. Elliott, R.J.; Malcolm, W.P. Dynamic model tracking for Markov modulated Poisson processes. Submitted.
5. Elliott, R.J.; Aggoun, L.; Moore, J.B. Hidden Markov Models: Estimation and Control; Applications of Mathematics No. 29; Springer-Verlag: New York, 1995.