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

DOI10.1080/14697688.2017.1417625zbMath1406.91499OpenAlexW2775159857MaRDI QIDQ4619511

Roland Langrock, Thomas Kneib, Alexander Silbersdorff, Julien Hambuckers

Publication date: 6 February 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2017.1417625

zbMATH Keywords

hidden Markov modelcompound Poisson processgeneralized Pareto distributionGAMLSSdistributional regressionoperational losses

Mathematics Subject Classification ID

Financial applications of other theories (91G80)

Related Items (4)

Hidden semi-Markov-switching quantile regression for time series ⋮ Initialization of Hidden Markov and Semi‐Markov Models: A Critical Evaluation of Several Strategies ⋮ Bettors' reaction to match dynamics: evidence from in-game betting ⋮ Penalized estimation of flexible hidden Markov models for time series of counts

Uses Software

• GAMLSS

Cites Work

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