Inverse Problems in Markov Models and Actuarial Calculations

Semyen Spivak, Russie

This paper considers decision of inverse problem of Markov model corresponding to a special insurance scheme.Two mutually opposite problems arise when using Markov processes for modeling. Direct problem is to calculate probabilities of corresponding states and other characteristics of process. It is assumed that parameters of model are available. Inverse problem is to evaluate parameters of model by using experimental output data.In Markov model input parameters are forces of transition from state to state. When dealing with queuing problems or insurance models these values are unknown in advance. Meanwhile, statistical information about output results for some models can be found in special literature.This paper considers the parameter estimation for Markov models.
Date: 1 June - Time: 11:00 to 12:30 - Room: 343
Theme: 1.A. Stochastic dependence