Analysis of an aggregate loss model in a Markov renewal regime (Q2242094)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Analysis of an aggregate loss model in a Markov renewal regime |
scientific article |
Statements
Analysis of an aggregate loss model in a Markov renewal regime (English)
0 references
9 November 2021
0 references
loss modeling
0 references
dependent loss times
0 references
Markov renewal theory
0 references
overdispersion
0 references
batch Markovian arrival process
0 references
PH distribution
0 references
double-Pareto lognormal distribution
0 references
MLE estimation
0 references
operational risk
0 references
value-at-risk
0 references
