A Markov-switching generalized additive model for compound Poisson processes, with applications to operational loss models

DOI10.1080/14697688.2017.1417625zbMath1406.91499MaRDI QIDQ4619511

Roland Langrock, Thomas Kneib, Alexander Silbersdorff, Julien Hambuckers

Publication date: 6 February 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2017.1417625

zbMATH Keywords

hidden Markov modelcompound Poisson processgeneralized Pareto distributionGAMLSSdistributional regressionoperational losses

Mathematics Subject Classification ID

91G80: Financial applications of other theories

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Uses Software

• GAMLSS

Cites Work

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