Multivariate Cox Hidden Markov models with an application to operational risk

DOI10.1080/03461238.2019.1598482zbMath1422.91346OpenAlexW2935594703MaRDI QIDQ5193491

Andrei L. Badescu, T. C. Fung, X. Sheldon Lin

Publication date: 10 September 2019

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2019.1598482

zbMATH Keywords

EM algorithmadvanced measurement approachoperational lossesinter-unit and temporal dependencemultivariate risk modeling

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of continuous-time Markov processes on discrete state spaces (60J28)

Related Items (3)

Analysis of an aggregate loss model in a Markov renewal regime ⋮ A class of mixture of experts models for general insurance: theoretical developments ⋮ A CLASS OF MIXTURE OF EXPERTS MODELS FOR GENERAL INSURANCE: APPLICATION TO CORRELATED CLAIM FREQUENCIES

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• A MARKED COX MODEL FOR THE NUMBER OF IBNR CLAIMS: ESTIMATION AND APPLICATION
• On the Class of Erlang Mixtures with Risk Theoretic Applications
• Identifiability of Finite Mixtures
• Identifiability of Mixtures of Product Measures
• On the Identifiability of Finite Mixtures
• Hidden Markov Models for Time Series

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