TY  - GEN 
AU  - Ramírez Cobo, Josefa
AU  - Carrizosa, Emilio
AU  - Lillo, Rosa E.
A4  - Estadística e Investigación Operativa
PY  - 2021
SN  - 0096-3003
UR  - http://hdl.handle.net/10498/30594
AB  - In this article we consider an aggregate loss model with dependent losses. The loss occurrence process is governed by a two-state Markovian arrival process ( M A P 2 ), a Markov renewal process that allows for (1) correlated inter-loss times, (2)...
LA  - eng
PB  - Elsevier
KW  - Loss modeling
KW  - Dependent loss times
KW  - Markov renewal theory
KW  - Overdispersion
KW  - Batch Markovian arrival process
KW  - PH distribution
KW  - Double-Pareto Lognormal distribution
KW  - MLE estimation
KW  - Operational risk
KW  - Value-at-Risk
TI  - Analysis of an aggregate loss model in a Markov renewal regime
DO  - 10.1016/J.AMC.2020.125869
ER  -