Accounting for regime and parameter uncertainty in regime-switching models

DOI10.1016/j.insmatheco.2011.07.003zbMath1228.91075OpenAlexW2034417640MaRDI QIDQ654823

Matthew J. Heaton, Brian M. Hartman

Publication date: 21 December 2011

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2011.07.003

zbMATH Keywords

Dirichlet processBayesian modelingasset price simulation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40)

Related Items (5)

Variational Bayes for regime-switching log-normal models ⋮ Ensemble Economic Scenario Generators: Unity Makes Strength ⋮ ECONOMIC SCENARIO GENERATOR AND PARAMETER UNCERTAINTY: A BAYESIAN APPROACH ⋮ Model Selection and Averaging in Financial Risk Management ⋮ Bayesian multivariate regime-switching models and the impact of correlation structure misspecification in variable annuity pricing

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