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

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Unpublished conference/Abstract (Scientific congresses and symposiums)

Hambuckers, julien

2016 • ERCIM 2016

Editorial reviewed

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https://hdl.handle.net/2268/216972

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Keywords :

Hidden Markov Model; compound Poisson process; semiparametric; generalized Pareto distribution; splines; operational losses

Disciplines :

Quantitative methods in economics & management

Author, co-author :

Hambuckers, julien ; Université de Liège - ULiège > HEC Liège : UER > Statistique appliquée à la gestion et à l'économie

Language :

English

Title :

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

Publication date :

December 2016

Event name :

ERCIM 2016

Event place :

Seville, Spain

Event date :

du 9 au 11 décembre 2016

By request :

Yes

Audience :

International

Peer review/Selection committee :

Editorial reviewed

Available on ORBi :

since 14 December 2017

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