Bayesian Estimation for the Markov-Modulated Diffusion Risk Model
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Cites work
- A tutorial on Bayesian nonparametric models
- An introduction to statistical learning. With applications in R
- Erlangian approximation to finite time ruin probabilities in perturbed risk models
- Estimating the parameters of a seasonal Markov-modulated Poisson process
- Estimation of the parameters of a Markov-modulated loss process in insurance
- scientific article; zbMATH DE number 879777 (Why is no real title available?)
- Markov Bridges, Bisection and Variance Reduction
- Markov-modulated diffusion risk models
- On inference for partially observed nonlinear diffusion models using the Metropolis-Hastings algorithm
- On the joint distribution of surplus before and after ruin under a Markovian regime switching model
- On the probability of ruin in a Markov-modulated risk model
- Statistical Inference for Discretely Observed Markov Jump Processes
Cited in
(11)- Bayesian parameter estimation and prediction in mean reverting stochastic diffusion models
- Estimating the parameters of a seasonal Markov-modulated Poisson process
- Statistical inference for partially observed Markov-modulated diffusion risk model
- Semiparametric Bayesian Markov analysis of personalized benefit-risk assessment
- Estimation of the parameters of a Markov-modulated loss process in insurance
- A Bayesian approach to incorporate model ambiguity in a dynamic risk measure
- Estimation of the Lundberg coefficient for a Markov modulated risk model
- Bayesian Risk Management for Equity-Linked Insurance
- A bivariate Markov modulated intensity model: applications to insurance and credit risk modelling
- Full Bayesian Analysis for a Class of Jump-Diffusion Models
- Bayesian Risk Measures for Derivatives via Random Esscher Transform
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