Bayesian Estimation for the Markov-Modulated Diffusion Risk Model
Por:
Baltazar-Larios F., Esparza L.J.R.
Publicada:
1 ene 2019
Categoría:
Mathematics (miscellaneous)
Resumen:
We consider the Markov-modulated diffusion risk model in which the claim inter-arrivals, claim sizes, premiums, and volatility diffusion process are influenced by an underlying Markov jump process. We propose a method for obtaining the maximum likelihood estimators of its parameters using a Markov chain Monte Carlo algorithm. We present simulation studies to estimate the ruin probability in finite time using the estimators obtained with the method proposed in this paper. © 2019, Springer Nature Switzerland AG.
Filiaciones:
Baltazar-Larios F.:
Facultad de Ciencias, Universidad Nacional Autónoma de México, A.P. 20-726, Mexico City, 01000 CDMX, Mexico
Esparza L.J.R.:
Catedra CONACyT, Universidad Autonoma Chapingo, Texcoco, Mexico
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