Analysis of an aggregate loss model in a Markov renewal regime

DOI10.1016/j.amc.2020.125869OpenAlexW3118159285MaRDI QIDQ2242094

Emilio Carrizosa, Pepa Ramírez-Cobo, Rosa Elvira Lillo

Publication date: 9 November 2021

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://idus.us.es/handle//11441/107633

zbMATH Keywords

overdispersionvalue-at-riskbatch Markovian arrival processMarkov renewal theoryPH distributionoperational riskloss modelingdependent loss timesdouble-Pareto lognormal distributionMLE estimation

Mathematics Subject Classification ID

Point estimation (62F10) Renewal theory (60K05) Risk models (general) (91B05)

Uses Software

• QRM

Cites Work

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