Accounting for regime and parameter uncertainty in regime-switching models
DOI10.1016/J.INSMATHECO.2011.07.003zbMATH Open1228.91075OpenAlexW2034417640MaRDI QIDQ654823FDOQ654823
Authors: Brian M. Hartman, Matthew J. Heaton 
Publication date: 21 December 2011
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2011.07.003
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Cites Work
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- Markov chain Monte Carlo methods and the label switching problem in Bayesian mixture modeling
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- Investment guarantees: Modeling and risk management for equity-linked life insurance
- Ferguson distributions via Polya urn schemes
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- A Regime-Switching Model of Long-Term Stock Returns
- Bayesian Risk Management for Equity-Linked Insurance
Cited In (7)
- Bayesian multivariate regime-switching models and the impact of correlation structure misspecification in variable annuity pricing
- Variational Bayes for regime-switching log-normal models
- Ensemble Economic Scenario Generators: Unity Makes Strength
- How should a local regime-switching model be calibrated?
- A new approach to model regime switching
- Model Selection and Averaging in Financial Risk Management
- Economic scenario generator and parameter uncertainty: a Bayesian approach
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