Insurance claims modulated by a hidden Brownian marked point process
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Cites work
- scientific article; zbMATH DE number 3839062 (Why is no real title available?)
- scientific article; zbMATH DE number 3793150 (Why is no real title available?)
- scientific article; zbMATH DE number 1128810 (Why is no real title available?)
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- Explicit solutions to European options in a regime-switching economy
- Fourier Analysis and Its Applications
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- Modelling Portfolio Defaults Using Hidden Markov Models with Covariates
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Cited in
(9)- Estimation of the parameters of a Markov-modulated loss process in insurance
- A first step to implement Gillespie's algorithm with rejection sampling
- Estimating the parameters of a seasonal Markov-modulated Poisson process
- Filtering and smoothing formulas of AR(p)-modulated Poisson processes
- Modelling and understanding count processes through a Markov-modulated non-homogeneous Poisson process framework
- 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
- A Poisson-fault model for testing power transformers in service
- Aggregate claim estimation using bivariate hidden Markov model
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