A Non-Homogeneous Continuous Time Semi-Markov Model for the Study of Accumulated Claim Process

The accumulated claim process is the summed total of all claims starting from time t. The semi-Markov environment, at authors’ opinion, is able to follow the evolution of this process. In the paper a continuous time non-homogeneous semi-Markov model with a denumerable set of states will be used to follow the stochastic evolution of the accumulated claim process.