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

DOI10.1016/J.INSMATHECO.2013.07.003MaRDI QIDQ2513596zbMATHOpenAlexFDO

Authors Armelle Guillou, Stéphane Loisel, 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

strong consistencyEM algorithmmaximum likelihood estimatorMarkov-modulated Poisson process

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(19)

• Estimation of the parameters of a Markov-modulated loss process in insurance
• Banach contraction principle and ruin probabilities in regime-switching models
• Estimating the parameters of a seasonal Markov-modulated Poisson process
• Aggregate Markov models in life insurance: estimation via the EM algorithm
• A bivariate Markov modulated intensity model: applications to insurance and credit risk modelling
• General methods for bounding multidimensional ruin probabilities in regime-switching models
• Modelling and understanding count processes through a Markov-modulated non-homogeneous Poisson process framework
• Modelling insurance losses using a new beta power transformed family of distributions
• Statistical inference for partially observed Markov-modulated diffusion risk model
• A generalization of Gerber's inequality for ruin probabilities in risk-switching models
• Bayesian Estimation for the Markov-Modulated Diffusion Risk Model
• Modelling claims run-off with reversible jump Markov chain Monte Carlo methods
• Finite-horizon ruin probabilities in a risk-switching Sparre Andersen model
• Insurance claims modulated by a hidden Brownian marked point process
• A Markov-modulated tree-based gradient boosting model for auto-insurance risk premium pricing
• A Markov-switching generalized additive model for compound Poisson processes, with applications to operational loss models
• scientific article; zbMATH DE number 5548297 (Why is no real title available?)
• Finite-horizon general insolvency risk measures in a regime-switching Sparre Andersen model
• MODELLING INSURANCE LOSSES USING CONTAMINATED GENERALISED BETA TYPE-II DISTRIBUTION

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