Estimation of the parameters of a Markov-modulated loss process in insurance
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Publication:2513596
DOI10.1016/J.INSMATHECO.2013.07.003zbMATH Open1304.91109OpenAlexW2003168676MaRDI QIDQ2513596FDOQ2513596
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
Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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Cited In (18)
- General methods for bounding multidimensional ruin probabilities in regime-switching models
- Finite-horizon general insolvency risk measures in a regime-switching Sparre Andersen model
- Estimating the parameters of a seasonal Markov-modulated Poisson process
- Modelling insurance losses using a new beta power transformed family of distributions
- Estimation of the parameters of a Markov-modulated loss process in insurance
- Banach contraction principle and ruin probabilities in regime-switching models
- A generalization of Gerber's inequality for ruin probabilities in risk-switching models
- Modelling and understanding count processes through a Markov-modulated non-homogeneous Poisson process framework
- Finite-horizon ruin probabilities in a risk-switching Sparre Andersen model
- Statistical inference for partially observed Markov-modulated diffusion risk model
- Modelling claims run-off with reversible jump Markov chain Monte Carlo methods
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- A Markov-switching generalized additive model for compound Poisson processes, with applications to operational loss models
- A Markov-modulated tree-based gradient boosting model for auto-insurance risk premium pricing
- Bayesian Estimation for the Markov-Modulated Diffusion Risk Model
- Insurance claims modulated by a hidden Brownian marked point process
- A bivariate Markov modulated intensity model: applications to insurance and credit risk modelling
- MODELLING INSURANCE LOSSES USING CONTAMINATED GENERALISED BETA TYPE-II DISTRIBUTION
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