Statistical inference for partially observed Markov-modulated diffusion risk model

DOI10.1007/S11009-022-09932-7zbMath1493.62578OpenAlexW4211236426MaRDI QIDQ2152230

Fernando Baltazar-Larios, Luz Judith R. Esparza

Publication date: 7 July 2022

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-022-09932-7

zbMATH Keywords

maximum likelihood estimationruin probabilitystochastic EM algorithmMarkov-modulated diffusion risk model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Risk models (general) (91B05)

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