Analysis of an aggregate loss model in a Markov renewal regime
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Publication:2242094
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
overdispersionvalue-at-riskbatch Markovian arrival processMarkov renewal theoryPH distributionoperational riskloss modelingdependent loss timesdouble-Pareto lognormal distributionMLE estimation
Uses Software
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