Pesquisa de referências

Multivariate Lévy-type drift change detection and mortality modeling

Acceso al documento/Access the document
Registro MARC
Tag12Valor
LDR  00000cab a2200000 4500
001  MAP20240013639
003  MAP
005  20240830135110.0
008  240830e20240415che|||p |0|||b|eng d
040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
084  ‎$a‎6
1001 ‎$0‎MAPA20240021146‎$a‎Krawiec, Michal
24510‎$a‎Multivariate Lévy-type drift change detection and mortality modeling‎$c‎Michal Krawiec and Zbigniew Palmowski
520  ‎$a‎In this paper we give a solution to the quickest drift change detection problem for a multivariate Lévy process consisting of both continuous (Gaussian) and jump components in the Bayesian approach. We do it for a general 0-modified continuous prior distribution of the change point as well as for a random post-change drift parameter. Classically, our criterion of optimality is based on a probability of false alarm and an expected delay of the detection, which is then reformulated in terms of a posterior probability of the change point. We find a generator of the posterior probability, which in case of general prior distribution is inhomogeneous in time
650 4‎$0‎MAPA20080555306‎$a‎Mortalidad
650 4‎$0‎MAPA20080602437‎$a‎Matemática del seguro
650 4‎$0‎MAPA20080563448‎$a‎Modelización
650 4‎$0‎MAPA20080545338‎$a‎Seguros
7001 ‎$0‎MAPA20210032660‎$a‎Palmowski, Zbigniew
7730 ‎$w‎MAP20220007085‎$g‎15/04/2024 Volúmen 14 - Número 1 - abril 2024 , p. 175-203‎$t‎European Actuarial Journal‎$d‎Cham, Switzerland : Springer Nature Switzerland AG, 2021-2022
856  ‎$u‎https://link.springer.com/article/10.1007/s13385-023-00350-8