BAYESIAN ESTIMATION OF RUIN PROBABILITIES WITH A HETEROGENEOUS AND HEAVY‐TAILED INSURANCE CLAIM‐SIZE DISTRIBUTION
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Publication:3614905
DOI10.1111/j.1467-842X.2007.00492.xzbMath1158.62017MaRDI QIDQ3614905
Hedibert Freitas Lopes, M. Concepcion Ausin
Publication date: 17 March 2009
Published in: Australian & New Zealand Journal of Statistics (Search for Journal in Brave)
heavy tailsreversible jump MCMCmultimodalityphase-type distributionsBayesian mixturesrisk reserve processes
Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Numerical analysis or methods applied to Markov chains (65C40)
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