A Markov-switching generalized additive model for compound Poisson processes, with applications to operational loss models (Q4619511)

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scientific article; zbMATH DE number 7013634
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A Markov-switching generalized additive model for compound Poisson processes, with applications to operational loss models
scientific article; zbMATH DE number 7013634

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    A Markov-switching generalized additive model for compound Poisson processes, with applications to operational loss models (English)
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    6 February 2019
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    GAMLSS
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    distributional regression
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    generalized Pareto distribution
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    hidden Markov model
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    operational losses
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    compound Poisson process
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