Estimation of the parameters of a Markov-modulated loss process in insurance

DOI10.1016/j.insmatheco.2013.07.003zbMath1304.91109OpenAlexW2003168676MaRDI QIDQ2513596

Stéphane Loisel, Armelle Guillou, Gilles Stupfler

Publication date: 28 January 2015

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2013.07.003

zbMATH Keywords

EM algorithmmaximum likelihood estimatorstrong consistencyMarkov-modulated Poisson process

Mathematics Subject Classification ID

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