Insurance claims modulated by a hidden Brownian marked point process
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Publication:659112
DOI10.1016/J.INSMATHECO.2009.05.008zbMATH Open1231.91182OpenAlexW1978259664MaRDI QIDQ659112FDOQ659112
Authors: Robert J. Elliott, Zhiping Chen, Qihong Duan 
Publication date: 10 February 2012
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/1880/48980
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Cited In (6)
- Filtering and smoothing formulas of AR(p)-modulated Poisson processes
- An expectation maximization algorithm to model failure times by continuous-time Markov chains
- Strong consistency of estimators for the intensity to a Poisson process marked by a hidden Brownian process
- Estimation of the parameters of a Markov-modulated loss process in insurance
- A first step to implement Gillespie's algorithm with rejection sampling
- A Poisson-fault model for testing power transformers in service
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