Analysis of an aggregate loss model in a Markov renewal regime
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DOI: 10.1016/j.amc.2020.125869
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Keywords
Loss modeling; Dependent loss times; Markov renewal theory; Overdispersion; Batch Markovian arrival process; PH distribution; Double-Pareto Lognormal distribution; MLE estimation; Operational risk; Value-at-Risk;All these keywords.
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