Bayesian Estimation for the Markov-Modulated Diffusion Risk Model

DOI10.1007/978-3-030-31551-1_2zbMath1436.62486OpenAlexW2986505844MaRDI QIDQ3296428

Fernando Baltazar-Larios, Luz Judith R. Esparza

Publication date: 7 July 2020

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-030-31551-1_2

zbMATH Keywords

ruin probabilityBayesian estimationjump processMarkov-modulated modeldiffusion risk model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05) Markov processes: hypothesis testing (62M02) Risk models (general) (91B05) Jump processes on discrete state spaces (60J74)

Related Items (1)

Statistical inference for partially observed Markov-modulated diffusion risk model

Uses Software

• ISLR

Cites Work

• Unnamed Item
• A tutorial on Bayesian nonparametric models
• On the probability of ruin in a Markov-modulated risk model
• Estimating the parameters of a seasonal Markov-modulated Poisson process
• On the joint distribution of surplus before and after ruin under a Markovian regime switching model
• Estimation of the parameters of a Markov-modulated loss process in insurance
• On inference for partially observed nonlinear diffusion models using the Metropolis-Hastings algorithm
• Erlangian approximation to finite time ruin probabilities in perturbed risk models
• An Introduction to Statistical Learning
• Statistical Inference for Discretely Observed Markov Jump Processes
• Markov Bridges, Bisection and Variance Reduction
• Markov-modulated diffusion risk models

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