Centro de Documentacion de Fundación MAPFRE - Multivariate Lévy-type drift change detection and mortality modeling

Notas: Sumario: In 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 timeRegistros relacionados: En: European Actuarial Journal. - Cham, Switzerland : Springer Nature Switzerland AG, 2021-2022. - 15/04/2024 Volúmen 14 - Número 1 - abril 2024 , p. 175-203Materia / lugar / evento: Mortalidad Matemática del seguro Modelización Seguros Otros autores: Palmowski, Zbigniew
Otras clasificaciones: 6

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