A Markov-switching generalized additive model for compound Poisson processes, with applications to operational loss models
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Publication:4619511
DOI10.1080/14697688.2017.1417625zbMath1406.91499MaRDI QIDQ4619511
Roland Langrock, Thomas Kneib, Alexander Silbersdorff, Julien Hambuckers
Publication date: 6 February 2019
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2017.1417625
hidden Markov model; compound Poisson process; generalized Pareto distribution; GAMLSS; distributional regression; operational losses
91G80: Financial applications of other theories
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