Multivariate Cox Hidden Markov models with an application to operational risk
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Publication:5193491
DOI10.1080/03461238.2019.1598482zbMath1422.91346MaRDI QIDQ5193491
Andrei L. Badescu, T. C. Fung, X. Sheldon Lin
Publication date: 10 September 2019
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461238.2019.1598482
EM algorithm; advanced measurement approach; operational losses; inter-unit and temporal dependence; multivariate risk modeling
62P05: Applications of statistics to actuarial sciences and financial mathematics
60J28: Applications of continuous-time Markov processes on discrete state spaces
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