A Markov-switching generalized additive model for compound Poisson processes, with applications to operational loss models
J. Hambuckers, T. Kneib, R. Langrock and A. Silbersdorff
| Year of publication: |
2018
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| Authors: | Hambuckers, J. ; Kneib, Thomas ; Langrock, Roland ; Silbersdorff, Alexander |
| Published in: |
Quantitative finance. - Abingdon [u.a.] : Routledge, ISSN 1469-7688, ZDB-ID 2055458-8. - Vol. 18.2018, 10, p. 1679-1698
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| Subject: | Compound Poisson process | Distributional regression | GAMLSS | Generalized Pareto distribution | Hidden Markov model | Operational losses | Markov-Kette | Markov chain | Stochastischer Prozess | Stochastic process | Theorie | Theory | Statistische Verteilung | Statistical distribution | Wahrscheinlichkeitsrechnung | Probability theory | Regressionsanalyse | Regression analysis | Operationelles Risiko | Operational risk | Verlust | Loss |
| Type of publication: | Article |
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| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2017.1417625 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012259864