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A Cox Model for gradually disappearing events

Jang, Jiwook, Qu, Yan, Zhao, Hongbiao and Dassios, Angelos (2021) A Cox Model for gradually disappearing events. Probability in the Engineering and Informational Sciences. ISSN 0269-9648 (In Press)

[img] Text (p_Dec_Const_Intensity) - Accepted Version
Pending embargo until 1 January 2100.
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Abstract

Innovations in medicine provide us longer and healthier life, leading lower mortality. Sooner rather than later, much greater longevity would be possible for us due to artificial intelligence advances in health care. Similarly, Advanced Driver Assistance Systems (ADAS) in highly automated vehicles may reduce or even eventually eliminate accidents by perceiving dangerous situations, which would minimise the number of accidents and lead to fewer loss claims for insurance companies. To model the survivor function capturing greater longevity as well as the number of claims reflecting less accidents in the long run, in this paper, we study a Cox process whose intensity process is piecewise-constant and decreasing. We derive its ultimate distributional properties, such as the Laplace transform of intensity integral process, the probability generating function of point process, their associated moments and cumulants, and the probability of no more claims for a given time point. In general, this simple model may be applicable in many other areas for modelling the evolution of gradually disappearing events, such as corporate defaults, dividend payments, trade arrivals, employment of a certain job type (e.g. typists) in the labor market, and release of particles. In particular, we discuss some potential applications to insurance.

Item Type: Article
Official URL: https://www.cambridge.org/core/journals/probabilit...
Additional Information: © 2021 Cambridge University Press
Divisions: Statistics
Subjects: Q Science > QA Mathematics
H Social Sciences > HD Industries. Land use. Labor
Date Deposited: 29 Nov 2021 10:09
Last Modified: 03 Dec 2021 12:54
URI: http://eprints.lse.ac.uk/id/eprint/112754

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