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Estimation of the parameters of a Markov-modulated loss process in insurance |
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| Authors: | Armelle Guillou,Sté phane Loisel,Gilles Stupfler |
| Affiliation: | 1. Université de Strasbourg & CNRS, IRMA, UMR 7501, 7 rue René Descartes, 67084 Strasbourg Cedex, France;2. Université de Lyon, Université Lyon 1, Institut de Science Financière et d’Assurances, 50 avenue Tony Garnier, 69007 Lyon, France;3. Aix Marseille Université, CERGAM, EA 4225, 15-19 allée Claude Forbin, 13628 Aix-en-Provence Cedex 1, France |
| Abstract: | |
| Keywords: | Markov-modulated Poisson process Maximum likelihood estimator Strong consistency EM algorithm |
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